Description
Book SynopsisHigh-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. This book introduces readers to these emerging methods and tools of analysis.
Trade Review"The authors are well established and are at the forefront of this specialised research area. Together they bring a wealth of knowledge to this book. . . . This text is a great resource for PhD-level courses and a great reference for researchers in the area of high-frequency financial econometrics. It is a fine scholarly book that comprehensively brings readers up to date with very recent developments in the high-frequency financial econometrics literature."
---Ole Worapree Maneesoonthorn, Economic RecordTable of Contents*Frontmatter, pg. i*Contents, pg. vii*Preface, pg. xvii*Notation, pg. xxiii*Chapter 1. From Diffusions to Semimartingales, pg. 3*Chapter 2. Data Considerations, pg. 57*Introduction, pg. 81*Chapter 3. Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process, pg. 83*Chapter 4. With Jumps: An Introduction to Power Variations, pg. 109*Chapter 5. High-Frequency Observations: Identifiability and Asymptotic Efficiency, pg. 131*Introduction, pg. 167*Chapter 6. Estimating Integrated Volatility: The Base Case with No Noise and Equidistant Observations, pg. 169*Chapter 7. Volatility and Microstructure Noise, pg. 209*Chapter 8. Estimating Spot Volatility, pg. 259*Chapter 9. Volatility and Irregularly Spaced Observations, pg. 299*Introduction, pg. 327*Chapter 10. Testing for Jumps, pg. 329*Chapter 11. Finer Analysis of Jumps: The Degree of Jump Activity, pg. 393*Chapter 12. Finite or Infinite Activity for Jumps?, pg. 429*Chapter 13. Is Brownian Motion Really Necessary?, pg. 441*Chapter 14. Co-jumps, pg. 453*Appendix A. Asymptotic Results for Power Variations, pg. 477*Appendix B. Miscellaneous Proofs, pg. 507*Bibliography, pg. 633*Index, pg. 657
