Financial Markets Tick By Tick / Edition 1by Pierre Lequeux
Pub. Date: 03/22/1999
Over the last decade financial markets have been subjected to drastic changes consequent to the progress made in information technology. The huge increase in "number crunching" capability has enabled the financial community to use so called "tick data" on a wider scale. This brings a wealth of information about the behaviour of financial prices and gives new… See more details below
Over the last decade financial markets have been subjected to drastic changes consequent to the progress made in information technology. The huge increase in "number crunching" capability has enabled the financial community to use so called "tick data" on a wider scale. This brings a wealth of information about the behaviour of financial prices and gives new perspectives in the field of risk management and forecasting. It provides new ways to model and generate correlation and volatility estimates to input into pricing and risk models. The recent release of high frequency price data by financial exchanges and other data suppliers has translated into a steady flow of research papers on high frequency modelling produced by both academics and market practitioners. It addresses practical issues that are paramount to the financial community. The first section of the book is dedicated to price volatility and risk estimators, the second section concentrates on statistical features and forecasting issues. Finally the last section investigates how "tick data" affects the way that market practitioners operate in the financial markets by giving practical examples of applications. The topic of high frequency data in the financial markets is very broad and the implications for market practitioners are numerous. We hope that this book will contribute towards a finer knowledge of this very specialized field as well as giving some orientation in terms of future research. Pierre can be contacted by e-mail at: Pierre.firstname.lastname@example.org This book has been kindly sponsored by the London International Financial Futures and Options Exchange (LIFFE). To find out more about LIFFE and LIFFE products please complete the tear-out card found to the rear of this book.
Table of Contents
HIGH FREQUENCY FINANCIAL SERIES, VOLATILITY AND RISK.
Efficient Estimation of Intra-day Volatility: A Method-of-Moments Approach Incorporating the Trading Range (R. Spurgin & T. Schneeweis).
Modelling Intra-day Equity Prices and Volatility Using Information Arrivals -
A Comparative Study of Different Choices of Informational Proxies (S. Lin, et al.).
The Incremental Volatility Information in One Million Foreign Exchange Quotation (S. Taylor & X. Xu).
Correlation of High Frequency Financial Time Series (M. Lundin, et al.).
Highs and Lows: Times of the Day in the Currency CME Market (E. Acar & R. Toffel).
STATISTICAL FEATURES OF HIGH FREQUENCY FINANCIAL SERIES AND FORECASTING.
The Intraday Behavior of Key Market Variables for Liffe Derivatives (O. Gwilym, et al.).
Price Discovery and Market Integration in European Bond Markets (A Holland).
A Practical Approach to Information Spillover at High Frequency: Empirical Study of the Gilt and FTSE Liffe Contracts (P. Lequeux).
A Random Walk down the Financial High Frequency Streets? (M. Gavridis, et al.).
Trading Rules Profits and the Underlying Times Series Properties (E. Acar & P. Lequeux).
HIGH FREQUENCY FINANCIAL SERIES AND MARKET PRACTITIONERS APPLICATIONS.
The Source, Preparation and Use of High Frequency Data in the Derivatives Markets (P. McGregor).
The Design of a Quantitative Currency Overlay Program (H. Dijkstra, et al.).
Constructing a Managed Portfolio of High Frequency Liffe Futures Positions (D. Toulson, et al.).
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