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An Introduction to High-Frequency Finance

Название: An Introduction to High-Frequency Finance

Автор:

Серия:

Год выпуска:2001

ISBN: 0-12-279671-3, 978-0-12-279671-5

Издатель: Academic Press

Страниц: 416

Описание:
“”An Introduction to High-Frequency Finance” by the research team from Olsen & Associates is an amazing presentation of their work over the last decade and a half examining high-frequency, primarily currency, data. The volume includes details of data handling, filtering methods, scaling procedures, volatility models, automatic market making and trading rules that for many years were proprietary information. I highly recommend the book for anyone using tick data.” Robert Engle Формат: 15,5 см x 23,5 см.

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