Ramazan Gencay, Michel M. Dacorogna, Ulrich A. Muller, Richard B. Olsen, Olivier V. Pictet
An Introduction to High-Frequency Finance
Издательство: Academic Press, 2001 г.
0-12-279671-3, 978-0-12-279671-5
Книгопечатная продукция
Объем: 416 стр.
""An Introduction to High-Frequency Finance" by the research team from Olsen & Associates is an amazing presentation of their work over the last decade and a half examining high-frequency, primarily currency, data. The volume includes details of data handling, filtering methods, scaling procedures, volatility models, automatic market making and trading rules that for many years were proprietary information. I highly recommend the book for anyone using tick data."
Robert Engle
Формат: 15,5 см x 23,5 см.
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