Financial markets tick by tick
Subtitle: insights in financial markets microstructure
By: edited by Pierre Lequeux.
Contributors: Lequeux, Pierre.
Series: Wiley trading advantage series; Wiley trading advantage.
Publisher: Wiley
Published: 1999
Place of publication: Chichester, West Sussex, England; New York
Language: eng
Number of pages: 400
Subjects: Money market -- Mathematics.; Capital market -- Mathematics.
Notes: Includes bibliographical references and index.
Table of contents: label: 1
title: HIGH FREQUENCY FINANCIAL SERIES, VOLATILITY AND RISK; label: 1
title: Efficient Estimation of Intra-day Volatility: A Method-of-Moments Approach Incorporating the Trading Range (R. Spurgin & T. Schneeweis).; label: 2
title: Modelling Intra-day Equity Prices and Volatility Using Information Arrivals - A Comparative Study of Different Choices of Informational Proxies (S. Lin, et al.); label: 3
title: The Incremental Volatility Information in One Million Foreign Exchange Quotation (S. Taylor & X. Xu); label: 4
title: Correlation of High Frequency Financial Time Series (M. Lundin, et al.); label: 5
title: Highs and Lows: Times of the Day in the Currency CME Market (E. Acar & R. Toffel); label: 2
title: STATISTICAL FEATURES OF HIGH FREQUENCY FINANCIAL SERIES AND FORECASTING; label: 6
title: The Intraday Behavior of Key Market Variables for Liffe Derivatives (O. Gwilym, et al.); label: 7
title: Price Discovery and Market Integration in European Bond Markets (A Holland); label: 8
title: A Practical Approach to Information Spillover at High Frequency: Empirical Study of the Gilt and FTSE Liffe Contracts (P. Lequeux); label: 9
title: A Random Walk down the Financial High Frequency Streets? (M. Gavridis, et al.); label: 10
title: Trading Rules Profits and the Underlying Times Series Properties (E. Acar & P. Lequeux); label: 3
title: HIGH FREQUENCY FINANCIAL SERIES AND MARKET PRACTITIONERS APPLICATIONS; label: 11
title: The Source, Preparation and Use of High Frequency Data in the Derivatives Markets (P. McGregor; label: 12
title: The Design of a Quantitative Currency Overlay Program (H. Dijkstra, et al.); label: 13
title: Constructing a Managed Portfolio of High Frequency Liffe Futures Positions (D. Toulson, et al.).