High-Frequency Financial Econometrics

by Yacine Ait-Sahalia and Jean Jacod

A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability...

• Format: Hardcover
• Language: English
• ISBN: 0691161437
• ISBN13: 9780691161433
• Release Date: July 2014
• Publisher: Princeton University Press
• Length: 688 Pages
• Weight: 2.40 lbs.
• Dimensions: 1.8" x 6.5" x 9.3"