TY - BOOK ID - 965193 TI - An introduction to high-frequency finance PY - 2001 SN - 0122796713 9780122796715 9780080499048 008049904X 9786612284755 1282284754 PB - San Diego Academic Press DB - UniCat KW - Quantitative methods (economics) KW - Money market. Capital market KW - Time-series analysis KW - Economics KW - Série chronologique KW - Economie politique KW - Mathematical models KW - Modèles mathématiques KW - Finance KW - Time-series analysis. KW - Econometric models. KW - Econometric models KW - Analysis of time series KW - Autocorrelation (Statistics) KW - Harmonic analysis KW - Mathematical statistics KW - Probabilities KW - Finance - Econometric models KW - 332 KW - 303.8 KW - 305.91 KW - 339.42 KW - AA / International- internationaal KW - 330.115 KW - 336.7 KW - 519.2 KW - 519.2 Probability. Mathematical statistics KW - Probability. Mathematical statistics KW - 336.7 Geldwezen. Kredietwezen. Bankwezen. Financien. Monetaire econonomie. Beurswezen KW - Geldwezen. Kredietwezen. Bankwezen. Financien. Monetaire econonomie. Beurswezen KW - 330.115 Econometrie KW - Econometrie KW - Econometrische behandeling van een onderwerp KW - Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles KW - Financiële analyse UR - https://www.unicat.be/uniCat?func=search&query=sysid:965193 AB - 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. ER -