Customer Reviews

Financial Markets Tick By Tick

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I was tempted to link Espen Haug's enthusiasm to the fact that his own books are published by Wiley Finance - sorry, I have seen other Wiley authors do it - until noticing that his review was posted in 2002, eight years ago. It makes perfect sense that the book looked a lot better back then.

"Financial markets tick by tick" came out in 1999 - the latest reference is from 1998 - and if one accepts its estimate that academic research on high-frequency financial data started in mid-1990s, the implication is that it covers five years of research - and omits the subsequent eleven and counting.

If being up-to-date is out of question, does the book merit attention based on its pedagogical value, as a collection of old but important papers? Not by a long shot: the papers are OK, but none (including the two by big-name contributors) struck me as of lasting or broad interest.

I was underwhelmed by editorial effort - the introductory overview attributed to one of the papers results it did not present, and at least one of the selections (currency overlays in Chapter 12) had nothing to do with high-frequency stuff but made the cut regardless, accompanied by editor's own paper. It goes without saying that no proof-readers were involved in the project - this is a Wiley book, after all.

In 2010, there is no reason to buy this book: browsing SSRN will do you a lot more good.

As a trader and a quant I found this book packed with useful information. This is a must have book for every trader and researcher of tick-by-tick data.

A must buy!!

Espen G. Haug
(The Author of the complete Guide to Option Pricing Formulas)