- Hardcover: 426 pages
- Publisher: John Wiley & Sons (30 Dec 1998)
- Language English
- ISBN-10: 0471981605
- ISBN-13: 978-0471981602
- Product Dimensions: 23.5 x 15.5 x 2.9 cm
- Amazon Bestsellers Rank: 1,668,277 in Books (See Top 100 in Books)
- See Complete Table of Contents
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Product Description
Product Description
Financial Markets Tick by Tick Insights in Financial Markets Microstructure Edited by Pierre Lequeux "Financial Markets Tick by Tick is an in–depth and unique collection of analyses of the behaviour of the financial markets at the micro level. Its publication is particularly timely, given the current period of high volatility in the financial markets. LIFFE are proud to be associated with a text which features so many leading quantitative analysts, risk managers, academics and experts in this highly specialized field." Brian Williamson Executive Chairman, LIFFE The editor has brought together some of the acknowledged experts in the field to contribute on a subject of great timeliness across the finance sector. One could go as far as to say we are experiencing a renaissance in terms of how market players work on a day–to–day basis due to the high intra–day volatility of financial markets and the greater emphasis put on risk management. This book will provide essential reading matter for all those using high frequency data, in both the practitioner and academic markets alike.
From the Inside Flap
Over the last decade financial markets have been subjected to drastic changes consequent to the progress made in information technology. The huge increase in "number crunching" capability has enabled the financial community to use so called "tick data" on a wider scale. This brings a wealth of information about the behaviour of financial prices and gives new perspectives in the field of risk management and forecasting. It provides new ways to model and generate correlation and volatility estimates to input into pricing and risk models. The recent release of high frequency price data by financial exchanges and other data suppliers has translated into a steady flow of research papers on high frequency modelling produced by both academics and market practitioners. It addresses practical issues that are paramount to the financial community. The first section of the book is dedicated to price volatility and risk estimators, the second section concentrates on statistical features and forecasting issues. Finally the last section investigates how "tick data" affects the way that market practitioners operate in the financial markets by giving practical examples of applications. The topic of high frequency data in the financial markets is very broad and the implications for market practitioners are numerous. We hope that this book will contribute towards a finer knowledge of this very specialized field as well as giving some orientation in terms of future research. Pierre can be contacted by e–mail at: Pierre.lequeux@dial.pipex.com This book has been kindly sponsored by the London International Financial Futures and Options Exchange (LIFFE). To find out more about LIFFE and LIFFE products please complete the tear–out card found to the rear of this book.
Inside This Book
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First Sentence
This chapter introduces new methods of estimating the historic volatility of a security from its trading range.1 Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
This chapter introduces new methods of estimating the historic volatility of a security from its trading range.1 Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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2 reviews
1 of 1 people found the following review helpful
Blast from the past
17 Nov 2010
Format:Hardcover
I was tempted to link Espen Haug's enthusiasm to the fact that his own books are published by Wiley Finance - sorry, I have seen other Wiley authors do it - until noticing that his review was posted in 2002, eight years ago. It makes perfect sense that the book looked a lot better back then.
"Financial markets tick by tick" came out in 1999 - the latest reference is from 1998 - and if one accepts its estimate that academic research on high-frequency financial data started in mid-1990s, the implication is that it covers five years of research - and omits the subsequent eleven and counting.
If being up-to-date is out of question, does the book merit attention based on its pedagogical value, as a collection of old but important papers? Not by a long shot: the papers are OK, but none (including the two by big-name contributors) struck me as of lasting or broad interest.
I was underwhelmed by editorial effort - the introductory overview attributed to one of the papers results it did not present, and at least one of the selections (currency overlays in Chapter 12) had nothing to do with high-frequency stuff but made the cut regardless, accompanied by editor's own paper. It goes without saying that no proof-readers were involved in the project - this is a Wiley book, after all.
In 2010, there is no reason to buy this book: browsing SSRN will do you a lot more good.
"Financial markets tick by tick" came out in 1999 - the latest reference is from 1998 - and if one accepts its estimate that academic research on high-frequency financial data started in mid-1990s, the implication is that it covers five years of research - and omits the subsequent eleven and counting.
If being up-to-date is out of question, does the book merit attention based on its pedagogical value, as a collection of old but important papers? Not by a long shot: the papers are OK, but none (including the two by big-name contributors) struck me as of lasting or broad interest.
I was underwhelmed by editorial effort - the introductory overview attributed to one of the papers results it did not present, and at least one of the selections (currency overlays in Chapter 12) had nothing to do with high-frequency stuff but made the cut regardless, accompanied by editor's own paper. It goes without saying that no proof-readers were involved in the project - this is a Wiley book, after all.
In 2010, there is no reason to buy this book: browsing SSRN will do you a lot more good.
5 of 12 people found the following review helpful
Packed with useful information !!
26 Oct 2002
Format:Hardcover
As a trader and a quant I found this book packed with useful information. This is a must have book for every trader and researcher of tick-by-tick data.
A must buy!!
Espen G. Haug
(The Author of the complete Guide to Option Pricing Formulas)
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