||4 of 4 people found the following review helpful.| Definitely mid-frequency in this day and age|By em_everywhere|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 han||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
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, regu...
[PDF.xl97] An Introduction to High-Frequency Finance Rating: 4.77 (534 Votes)
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