An Introduction to High-Frequency Finance @ richardeward.com

An Introduction to High-Frequency Finance
by Ramazan Gençay, Michel Dacorogna, Ulrich A. Muller, Olivier Pictet, Richard Olsen
from Academic Press

Customer Reviews:

• Avg. Customer Rating: 4.5 / 5.0

• modelling financial instruments
  The book gives an indepth statistical modelling of important financial events, that have time dependency. It is suitable for the financial analyst who wants a semi-empirical approach.
  For some quantities, like foreign exchange data, there is a comparison between fully empirical results and various theoretical models. What is investigated are such behaviours like scaling laws, for the absolute returns as a function of frequency. Here, it has been empirically observed that scalings do exist for FX... more info

• good analysis on data error.
  Many type of error the book list are frequently occur in FX data.
  This book give good guide on how to filter them.

• From the experts in the field
  Michel Dacorogna and the team at the former Olsen & Associates are well-known experts in the field of foreign exchange rate data analysis, and their book provides us with a vast, useful source of information. Unfortunately for students and other beginners, the book is written like a compilation of papers and review articles, the opposite of pedagogical, and with an awful choice of 'computerese' notation (MA(t,n)=sum(EMA(t',k)... etc) that makes Boudhaud-Potters look easy in comparison. More to the... more info

• For the new millenium...that's what we need.
  The book covers a wide range of topics related to high-frequency data in Finance. There is a very detailed approach to tackle a huge amount of data and to deal with its based stylized facts. The book triggers the reader's desire to update his knowledge in the field of finance.

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