An Introduction to High-Frequency Finance

by Richard Olsen, Olivier V. Pictet, Ulrich A Muller, et al.

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...

• Format: Hardcover
• Language: English
• ISBN: 0122796713
• ISBN13: 9780122796715
• Release Date: May 2001
• Publisher: Academic Press
• Length: 416 Pages
• Weight: 1.25 lbs.
• Dimensions: 0.9" x 6.2" x 9.3"