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                    Dacorogna M.M., Gencay R., Mueller U.A. — An Introduction to High-Frequency Finance 
                  
                
                    
                        
                            
                                
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                                    Название:   An Introduction to High-Frequency FinanceАвторы:   Dacorogna M.M., Gencay R., Mueller U.A.Аннотация:  Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.
Язык:  Рубрика:  Экономика и финансы /Статус предметного указателя:  Готов указатель с номерами страниц ed2k:   ed2k stats Год издания:  2001Количество страниц:  383Добавлена в каталог:  19.09.2006Операции:  Положить на полку  |
	 
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                    Предметный указатель 
                  
                
                    
                        Stylized facts, negative first-order autocorrelation of turns 123 Stylized facts, scaling laws 122 147 Stylized facts, scaling laws, apparent scaling 152 Stylized facts, scaling laws, fat tails 142 Stylized facts, scaling laws, interquartile range 150 Stylized facts, scaling laws, limitations 158 Stylized facts, scaling properties 121 Stylized facts, seasonal heteroskedasticity 122 163 Stylized facts, seasonal volatility 163 167 Stylized facts, seasonal volatility, U-shaped 167 Stylized facts, seasonality 121 Subordinated process 176 Swap 23 Swap, FX swap rates 23 Symmetry 132 Synthetic price see Price Synthetic return see Return Tail, index 6 132 135 Tail, statistics 6 Taylor expansion 62 Technical analysis 3 14 129 technological change 8 Temporal aggregation 224 Test, ex-ante test 322 Test, likelihood ratio 7 Test, Monte Carlo 274 Test, out-of-sample test 249 Test, ratio test 192 Tick 1 10 Tick, tick frequency 37 46 Tick, tick frequency, log 46 Tick, tick time 124 Tick-by-tick see data Time horizon 209 210 249 307 309 Time scale 8 176 Time scale,        255 Time scale,        see Time scale Time scale,        174 176 188 Time scale, business 174 188 225 Time scale, tick time 124 Time scale, variety of time scales 8 Time stamp 10 15 Trading horizon (trader class) 198 Trading horizon (trader class), day trader 199 Trading horizon (trader class), intraday trader 199 Trading horizon (trader class), long-term trader 199 Trading horizon (trader class), market maker 199 Trading horizon (trader class), short-term trader 199 Trading hours 174 299 327 Trading model 295 Trading model, current price 302 Trading model, current return 300 Trading model, gearing calculator 301 Trading model, market constraints 299 Trading model, performance calculator 297 Trading model, performance measures 304 Trading model, performance measures,        307 Trading model, performance measures,        305 Trading model, performance measures, Sharpe ratio 305 Trading model, portfolios 338 Trading model, real-time trading models 296 310 323 Trading model, real-time trading strategics 297 Trading model, recommendation maker 301 Trading model, simulated trader 297 303 Trading model, simulated trader, bookkeeper 303 Trading model, simulated trader, opportunity catcher 303 Trading model, stop-loss deal 301 Trading model, stop-loss detector 302 Trading model, stop-loss price 302 Trading model, stop-profit algorithm 299 Trading model, stop-profit control 302 Trading model, symmetry properties 315 Trading model, testing procedures 317 Trading model, trading hours see Trading hours Trading model, transaction costs see Transaction Transaction clock 176 Transaction costs 170 295 325 331 333 Transaction price 1 15 Transaction volume 46 176 Trust capital see Filter Uncertainty 154 Undershooting 28 Value-at-Risk (VaR) 6 250 Variable activity 176 Variable direction change indicator 47 Variable price see Price Variable realized covariance see Covariance Variable realized skewness see Skewness Variable return see Return Variable spread see Spread Variable tick frequency see Tick Vehicle currency 19 172 Volatility see Volatility Volatility, annualized 41 Volatility, coarse volatility 211 Volatility, conditional hcteroskedasticity 198 Volatility, daily volatility 158 Volatility, deterministic volatility 170 Volatility, expected volatility 96 Volatility, fine volatility 211 Volatility, historical 41 Volatility, implied 43 Volatility, model 43 Volatility, patterns 176 Volatility, realized volatility 37 41 197 248 Volatility, realized volatility, bias 154 159 198 Volatility, realized volatility, bias correction 202 Volatility, volatility clustering 122 161 198 228 Volatility, volatility ratio 47 192 Wavelet 193 Wavelet, multiscaling approach 193 Wavelet, signal-to-noise ratio 193 Wavelet, wavelet transform 159 Wavelet, wavelet variance 160 Weekend effect 172 White’s variance-covariance matrix estimation 224 Yield curve 25 Zero-sum game 353 
                            
                     
                  
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