Financial Markets Tick By Tick / Edition 1

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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: 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.

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Product Details

  • ISBN-13: 9780471981602
  • Publisher: Wiley
  • Publication date: 3/22/1999
  • Series: Wiley Trading Series, #262
  • Edition number: 1
  • Pages: 426
  • Product dimensions: 6.16 (w) x 9.41 (h) x 1.32 (d)

Meet the Author

Pierre Lequeux is Assistant Vice President at Banque Nationale deParis, London which he joined in 1987. Pierre joined the BNPQuantitative Research and Trading desk in 1991 as a proprietarydealer after gaining experience on the Treasury and Corporate desk.After heading the Quantitative Research and Trading desk of BNPLondon where he developed a new active management currencybenchmark (FXDX), he is now focusing his attention on developingForeign Exchange Business for BNP. He is an active member of theeditorial board of Derivatives Uses Trading & Regulation aswell as the Editor of the AIMA newsletter's currency section. He isChairman of the AIMA benchmark committee on "Review of Methodologyand Utilisation of Alternative Investment Benchmarks" and also amember of the AIMA Currency Advisory Group.

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Table of Contents


Efficient Estimation of Intra-day Volatility: A Method-of-MomentsApproach Incorporating the Trading Range (R. Spurgin & T.Schneeweis).

Modelling Intra-day Equity Prices and Volatility Using InformationArrivals -
A Comparative Study of Different Choices of Informational Proxies(S. Lin, et al.).

The Incremental Volatility Information in One Million ForeignExchange Quotation (S. Taylor & X. Xu).

Correlation of High Frequency Financial Time Series (M. Lundin, etal.).

Highs and Lows: Times of the Day in the Currency CME Market (E.Acar & R. Toffel).


The Intraday Behavior of Key Market Variables for Liffe Derivatives(O. Gwilym, et al.).

Price Discovery and Market Integration in European Bond Markets (AHolland).

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).


The Source, Preparation and Use of High Frequency Data in theDerivatives Markets (P. McGregor).

The Design of a Quantitative Currency Overlay Program (H. Dijkstra,et al.).

Constructing a Managed Portfolio of High Frequency Liffe FuturesPositions (D. Toulson, et al.).


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  • Anonymous

    Posted June 7, 2000

    An indispanesable aid to the short term trader

    The book review paramount aspect of short term trading by investigating risk, forecasting and applied techniques at high frequency. It should prove very usefull to investors that are concerned or target returns at a short term horizon.

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