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An Introduction to High-Frequency Finance
An Introduction to HighFrequency Finance
Author: Ramazan Gençay, Michel Dacorogna, Ulrich A. Muller, Olivier Pictet, Richard Olsen
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 ...  more »
ISBN-13: 9780122796715
ISBN-10: 0122796713
Publication Date: 5/2001
Pages: 383
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Publisher: Academic Press
Book Type: Hardcover
Members Wishing: 1
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