An Introduction to High-Frequency Finance -- 2001 publication

This book presents a unified view of high-frequency time series methods with a particular emphasis on foreign exchange markets as well as interest spot and futures markets. The scope of the book is also applicable to other markets, such as equity and commodity markets. This book provides a framework to the analysis, modeling, and inference of high-frequency finanacial time series. It begins with the elementary foundations and definitions needed for studying the fundamential properties of high-frequency time series. It extends into adaptive data-cleaning issues, treatment of seasonal volatility, and modeling of intraday volatility. Fractal properties of the high-frequency time series are found and explored, and an intrinsic time is used to construct forecasting models. The book provides a detailed study of how the adopted framework can be effectively utilized to build econometric models of the price-formation process. Going beyond the price-formation process, the book presents the techniques to construct real-time trading models for financial assets. It is designed for those who might be starting research in the area as well as for those who are interested in appreciating the statistical and econometric theory that underlies high-frequency financial time series modeling.