Book of Donmon Teith

A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based

The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometr

CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allow

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 suc

This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobe