Financial Markets Tick By Tick (Hardcover)

~ Pierre Lequeux (Editor) "This chapter introduces new methods of estimating the historic volatility of a security from its trading range.1..." (more)
Key Phrases: incremental volatility information, turning point accuracy, wavelet nodes, Short Sterling, Journal of Finance, John Wiley (more...)

Editorial Reviews

Product Description

Tick by Tick is an in-depth and unique collection of analyses of the behaviour of the financial markets at the micro level. Its publication is particularly timely, given the current period of high volatility in the financial markets. LIFFE are proud to be associated with a text which features so many leading quantitative analysts, risk managers, academics and experts in this highly specialized field." Brian Williamson Executive Chairman, LIFFE The editor has brought together some of the acknowledged experts in the field to contribute on a subject of great timeliness across the finance sector. One could go as far as to say we are experiencing a renaissance in terms of how market players work on a day-to-day basis due to the high intra-day volatility of financial markets and the greater emphasis put on risk management. This book will provide essential reading matter for all those using high frequency data, in both the practitioner and academic markets alike.

From the Inside Flap

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: [e-mail] 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

• Hardcover: 426 pages
• Publisher: Wiley; 1 edition (February 16, 1999)
• Language: English
• ISBN-10: 0471981605
• ISBN-13: 978-0471981602
• Product Dimensions: 9.1 x 6.5 x 1.2 inches
• Shipping Weight: 1.6 pounds (View shipping rates and policies)
• Average Customer Review: 4.0 out of 5 stars  See all reviews (2 customer reviews)
• Amazon.com Sales Rank: #1,076,000 in Books (See Bestsellers in Books)

Customer Reviews

Most Helpful Customer Reviews

0 of 2 people found the following review helpful:

3.0 out of 5 stars Does I need advanced math skills to enjoy this book?, August 23, 2009

By	W. A. Ling - See all my reviews (REAL NAME)

I'm really interested on understanding HOW hedge funds like Renaissance trade and stuff, but since I dont understand advanced math I dont know if I should buy this...

4 of 10 people found the following review helpful:

5.0 out of 5 stars Packed with useful information !!, October 26, 2002

By A Customer

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)