An Introduction to High-Frequency Finance
383 pages | Academic Press; 1 edition (May 2001) | 0122796713 | DJVU | 5 Mb
Prepublication Praise:
"The authors have shaped the field of high-frequency data in finance; the text provides an excellent summary of their pioneering work."
--PAUL EMBRECHTS, Professor of Mathematics, ETH Zurich
"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."