An introduction to high-frequency finance
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...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
San Diego :
Academic Press
c2001.
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| Edición: | 1st edition |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627611406719 |
| Sumario: | 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. |
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| Notas: | Description based upon print version of record. |
| Descripción Física: | 1 online resource (411 p.) |
| Bibliografía: | Includes bibliographical references (p. 356-375) and index. |
| ISBN: | 9781282284753 9786612284755 9780080499048 |
