An Introduction to High-Frequency Finance 1st Edition, Kindle Edition

by Ramazan Gençay (Author), Michel Dacorogna (Author), Ulrich A. Muller (Author), Format: Kindle Edition

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ISBN-13: 978-0122796715

ISBN-10: 0122796713

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Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.
This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.

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Editorial Reviews

Review

Prepublication Praise:
"The authors have shaped the field of high-frequency data in finance; the text provides an excellent summary of their pioneering work."
--PAUL EMBRECHTS, Professor of Mathematics, ETH Zurich
"An Introduction to High-Frequency Finance by the research team from Olsen & Associates is an amazing presentation of their work over the last decade and a half examining high-frequency, primarily currency, data. The volume includes details of data handling, filtering methods, scaling procedures, volatility models, automatic market making and trading rules that for many years were proprietary information. I highly recommend the book for anyone using tick data."
--ROBERT ENGLE, Department of Finance, Stern School, NYU and Department of Economics, University of California, San Diego
"At long last, the study of financial prices is moving beyond convenient oversimplifications. For providing much of the best data and an indispensable bridge between the financial and academic communities, this flowering is deeply indebted to the group led by Dr. Richard Olsen.
This group and its alumni have also analyzed their own data. That work, which I often quote, has now been collected and extended in a book. I shall wear it out by constant use and it is a delight to recommend it to the emerging rational finance community."
--BENOIT B. MANDELBROT, Sterling Professor of Mathematical Sciences, Yale University --This text refers to the hardcover edition.

From the Back Cover

@qu:"The authors have shaped the field of high-frequency data in finance; the text provides an excellent summary of their pioneering work."
@source:--Paul Embrechts, Professor of Mathematics, ETH Zurich
@qu:"An Introduction to High-Frequency Finance by the research team from Olsen & Associates is an amazing presentation of their work over the last decade and a half examining high-frequency, primarily currency, data. The volume includes details of data handling, filtering methods, scaling procedures, volatility models, automatic market making and trading rules that for many years were proprietary information. I highly recommend the book for anyone using high-frequency data."
@source:--Robert Engle, Department of Finance, Stern School, NYU and Department of Economics, University of California, San Diego
@qu:"At long last, the study of financial prices is moving beyond convenient oversimplifications. For providing much of the best data and an indispensable bridge between the financial and academic communities, this flowering is deeply indebted to the group led by Dr. Richard Olsen.
This group and its alumni have also analyzed their own data. That work, which I often quote, has now been collected and extended in a book. I shall wear it out by constant use and it is a delight to recommend it to the emerging rational finance community."
@source:--Benoit B. Mandelbrot, Sterling Professor of Mathematical Sciences, Yale University
@text:An Introduction to High-Frequency Finance is the first and only source of unified information about high-frequency data. It provides a framework for the analysis, modeling, and inference of high-frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high-frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.
For further information on this title, please visit our web site: www.academicpress.com/sbe/authors --This text refers to the hardcover edition.

ASIN ‏ : ‎ B008U1LLWC
Publisher ‏ : ‎ Academic Press; 1st edition (May 29, 2001)
Publication date ‏ : ‎ May 29, 2001
Language ‏ : ‎ English
File size ‏ : ‎ 8450 KB
Text-to-Speech ‏ : ‎ Enabled
Screen Reader ‏ : ‎ Supported
Enhanced typesetting ‏ : ‎ Enabled
X-Ray ‏ : ‎ Not Enabled
Word Wise ‏ : ‎ Enabled
Print length ‏ : ‎ 641 pages
Lending ‏ : ‎ Not Enabled

Best Sellers Rank: #2,423,017 in Kindle Store (See Top 100 in Kindle Store)
- #372 in Business Mathematics Skills
- #410 in Econometrics
- #941 in Business Mathematics

Customer Reviews:
14 ratings

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Michel Dacorogna

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mickel

Definitely mid-frequency in this day and age

Reviewed in the United States on July 5, 2011

Verified Purchase

This book doesn't deal with true high-frequency trading, where it is more about execution than anything else. The book IS ten years old when I write this, so high frequency trading has taken on a different meaning, so no false advert here.

That said, it is a great treatment of the practical issues of handling large, heterogeneous financial data sets and their statistics. I haven't seen their methodology and framework anywhere else, although there are some really good treatments of irregularly spaced financial data (Hautsch, Engle).

The authors are prolific in this area, in particular, the use of tick data to build better volatility models and the use of seasonality (business time scale) and stochastic time (see intrinsic time). They also present a good way to use higher frequency homogeneous data to effectively filter historical volatility computations that makes them more robust when the data is interpolated or sparse. The best part is that they bring everything together for use in multivariate cases and for forecasting/trading.

Overall, this is a great book, that doesn't have many peers (if any). I can't recommend it enough.

Minor downsides:
(1) I also agree with the other reviewers on the notation, although it doesn't bother me that much personally.
(2) Would be nice to see some type of flowchart for an implementation of the methods in Ch. 6 and later, like they did in Ch. 4.
(3) No explicit mention of duration and/or point processes, although it is implicit in many of their techniques. This one might be a little unfair because one can't expect the authors to survey the entire body of literature.

4 people found this helpful

Helpful

Corwin J. Joy

Interesting, but not very well written

Reviewed in the United States on February 1, 2011

Verified Purchase

There are some useful results in this book. It has an especially good section on statistical techniques for data cleanup and making sure you have a clean tick series. Also, there are some interesting pieces on how to handle the discontinuous nature of tick data as opposed to what you see with daily data. Unfortunately, the book is written in a style that is hard to follow so that even standard results seem somewhat obscure the way the authors present them. Also, the notation is a pain, as noted by other reviewers they use a kind of computer notation rather than standard statistical notation making many of the forumulae much more difficult to read than they should be. Overall, a good book but it suffers from a poor writing style and is getting to be somewhat dated.

3 people found this helpful

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Odo

Not My Cup of Tea, but Interesting!

Reviewed in the United States on March 24, 2012

Verified Purchase

I originally bought this for a friend overseas, but ended up keeping it for myself. From what I can tell with my untrained eyes, is this is a very good and comprehensive introduction, albeit with a hint of professor added. It can be a bit bland and repetitious, but then again I don't suppose pop-ups are en vogue these days.

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Breno Neri

FX Only!

Reviewed in the United States on October 24, 2009

Verified Purchase

The tools described in this book are actually in mid frequency, not exactly high frequency. And they are specific for FX. If you are looking for truly high frequency strategies for equities, this book is not for you.

4 people found this helpful

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Professor Joseph L. McCauley

From the experts in the field

Reviewed in the United States on June 6, 2002

Michel Dacorogna and the team at the former Olsen & Associates are well-known experts in the field of foreign exchange rate data analysis, and their book provides us with a vast, useful source of information. Unfortunately for students and other beginners, the book is written like a compilation of papers and review articles, the opposite of pedagogical, and with an awful choice of 'computerese' notation (MA(t,n)=sum(EMA(t',k)... etc) that makes Boudhaud-Potters look easy in comparison. More to the point, even their noncomputerese notation is difficult to follow. I hope for a very different second edition written pedagogically for students of this growing and important field. On the positive side, data analyses are performed using logarithmic returns, not price increments. Workers in the field who consult this text will find it helpful.

35 people found this helpful

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Ming Zhong

good analysis on data error.

Reviewed in the United States on January 16, 2007

Many type of error the book list are frequently occur in FX data.

This book give good guide on how to filter them.

4 people found this helpful

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D. Progovac

no deep info

Reviewed in the United States on July 24, 2021

Verified Purchase

Nothing informative

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John

Excellent, easy to understand book

Reviewed in the United Kingdom on January 10, 2017

Verified Purchase

The Apology of Arthur Tresbit
This is an excellent book for anyone who wants to understand the basics of high frequency trading. It uses simple easy to understand language. And addresses both the problems and solutions to HFT.

W. O. Smith

Excellent, very well written, surprisingly un-dated

Reviewed in the United Kingdom on September 10, 2009

Verified Purchase

I know a fair amount about finance (just finished a masters in finance and about to embark on a phd) but knew nothing about high-frequency.

After reading Olsen's book I feel I have had a great introduction and am very keen to know more.

The writing style is effortless and concise. One of those books that does what is necessary while making it look easy. It's only when I compare with some other textbooks that it's clear how well this is written.

The only criticisms could be that (1) the main asset class covered is FX, although for a good reason, which they cover. (2) the content could be slightly dated, this first (and only) edition is published back in 2001. However, it has aged very well.

I am now about to hunt down more information on this topic, having been inspired by Olsen. I only hope further books and papers are as well written.

4 people found this helpful

Commento qualità testo

Reviewed in Italy on November 23, 2013

Verified Purchase

Un testo che tratta in maniera quantitativa ed esauriente le caratteristiche empiriche degli FX markets.
E' un testo adatto a chi possiede una conoscenza di base in econometria e statistica.

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