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.
More Than An Introduction
By A Customer - May 28, 2001
This one of the few books on high frequency finance is a most welcome to the literature. The book is useful not only for people who are new to the subject but also for researchers in the field since it is a most uniform treatment of many topics. From adaptive data cleaning (chapter 4) to intraday and weekly seasonality (chapter 6) and real time trading models (chapter 11), it covers a broad range of topics specific to high frequency financial time series analysis. Chapters on volatility modeling (Chapter 8), forecasting (chapter 9) and correlation and multivariate risk (chapter 10) are enlightening especially for risk exposure analysis and risk management purposes. Finally, the the extensive bibliography is a precious source for those who would like to explore certain topics in detail. I highly recommend it for practitioners as well as researchers in the field.
Definitely mid-frequency in this day and age
By em_everywhere - July 5, 2011
This book doesn't deal with true high-frequency trading, where it is more about execution than anything else. The book IS ten years old when I write this, so high frequency trading has taken on a different meaning, so no false advert here.
That said, it is a great treatment of the practical issues of handling large, heterogeneous financial data sets and their statistics. I haven't seen their methodology and framework anywhere else, although there are some really good treatments of irregularly spaced financial data (Hautsch, Engle).
The authors are prolific in this area, in particular, the use of tick data to build better volatility models and the use of seasonality (business time scale) and stochastic time (see intrinsic time). They also present a good way to use higher frequency homogeneous data to effectively filter historical volatility computations that makes them more robust when the data is interpolated or sparse. The best part is that they bring... read more
Interesting, but not very well written
By Corwin J. Joy - January 31, 2011
There are some useful results in this book. It has an especially good section on statistical techniques for data cleanup and making sure you have a clean tick series. Also, there are some interesting pieces on how to handle the discontinuous nature of tick data as opposed to what you see with daily data. Unfortunately, the book is written in a style that is hard to follow so that even standard results seem somewhat obscure the way the authors present them. Also, the notation is a pain, as noted by other reviewers they use a kind of computer notation rather than standard statistical notation making many of the forumulae much more difficult to read than they should be. Overall, a good book but it suffers from a poor writing style and is getting to be somewhat dated.
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