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Home > Business and Economics > Finance and accounting > Finance and the finance industry > High-frequency Financial Market Data: (Risk Technology Reports)
High-frequency Financial Market Data: (Risk Technology Reports)

High-frequency Financial Market Data: (Risk Technology Reports)


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About the Book

A consideration of the sources, management, manipulation and uses of high-frequency financial market data. It applies HFD to model development for data analysis, trading, forecasting and risk management. Future trends are covered, and there is a bibliography of the literature.

Table of Contents:
High-Frequency Financial Market Data -------------------------------------------------------------------------------- CONTENTS 1. Introduction and overview Overview and background The motivation and demand for high-frequency data The uses of high-frequency data Structure of this report 2. Sources and Types of High-Frequency Data Types of data Data supplied by exchanges Panel 2.1 (by Paul MacGregor, Liffe) - The sourcing and preparation of Liffe tick data Specialist data providers Real-time data providers Summary 3. Managing and Exploiting High-Frequency Data Panel 3.1 - Illustrative high-frequency data Data storage, filtering and cleaning The treatment of time Panel 3.2 - Olsen filtering system Constructing continuous series Key considerations in manipulating high-frequency data Modelling issues Summary of chapter 4. Arbitrage Opportunities in Equity Markets What is arbitrage? Empirical studies of arbitrage opportunities Arbitrage in equity markets Individual arbitrage trades 5. Intra-Day Seasonalities Intra-day patterns in returns Intra-day patterns in volume Intra-day patterns in volatility Intra-day patterns in the bid-ask spread Intra-day patterns in the autocorrelation of returns Intra-day patterns in hedge ratios Other intra-day patterns Effects of news announcements on intra-day patterns The turn-of-the-year effect and high-frequency data Conclusions 6. Links Between Markets Leads and lags in prices between different types of market based on the same asset The 1987 stock market crash Leads and lags in price volatility Links between geographically separated markets Rival markets 7. Destabilisation of Markets Relative volatility Programme trading and volatility Price movements at expiration Conclusions 8. Regulations Governing the Markets Regulation of dual capacity Circuit breakers Restrictions on short selling Taxes on transactions Tick size and price clustering Delayed publication of trades Conclusions 9. Market Efficiency Weak-form efficiency Semi-strong-form efficiency Conclusions 10. Market MakingRevision of prices Other aspects of financial markets Determinants of the bid-ask spread Block trades Conclusions 11. Conclusion and Future Developments References


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Product Details
  • ISBN-13: 9781899332496
  • Publisher: Risk Books
  • Publisher Imprint: Risk Books
  • Height: 297 mm
  • Width: 210 mm
  • ISBN-10: 1899332499
  • Publisher Date: 03 Sep 1999
  • Binding: Hardback
  • Series Title: Risk Technology Reports


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