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In: Journal of international economics, Band 47, Heft 1, S. 91-107
ISSN: 0022-1996
In: Journal of Risk, Band 22
SSRN
In: Journal of economic dynamics & control, Band 92, S. 30-46
ISSN: 0165-1889
In: Journal of economic dynamics & control, Band 36, Heft 9, S. 1372-1401
ISSN: 0165-1889
In: International journal of forecasting, Band 20, Heft 2, S. 287-303
ISSN: 0169-2070
In: International journal of forecasting, Band 17, Heft 2, S. 305-317
ISSN: 0169-2070
In: Journal of economic dynamics & control, Band 24, Heft 5-7, S. 981-1005
ISSN: 0165-1889
In: Journal of economic dynamics & control, Band 27, Heft 6, S. 909-935
ISSN: 0165-1889
In: Ebrary online
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.