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An Introduction to High-Frequency Finance by Bernard Dacorogna

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About this book :-
An Introduction to High-Frequency Finance written by Bernard Dacorogna
This book presents a unified view of high frequency time series methods with a particular emphasis on foreign exchange market as well as interest to other markets, such as equity and commodity markets.
This book provide a framework to the analysis, modeling and inference of high frequency time series. It begins with the elementry foundamtions and definitions needed for studying the fundamental properties of high frequency financial time series.

Book Detail :-
Title: An Introduction to High-Frequency Finance
Author(s): Bernard Dacorogna
Year: 2001
Pages: 407
Type: PDF
Language: English
ISBN: 0122796713,9780122796715
Country: Switzerland
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About Author :-
The author Bernard Dacorogna is a PHD and Professor Emeritus of Statistics at the University of Florida. He is the author of Advanced Calculus with Applications in Statistics, Second Edition and co-author of Statistical Tests for Mixed Linear Models, all published by Wiley. Dr. Khuri is a member of numerous academic associations, among them the American Statistical Association and the Institute of Mathematical Statistics.

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Book Contents :- An Introduction to High-Frequency Finance written by Bernard Dacorogna cover the following topics.
1. Introduction
2. Markets and Data
3. The Series of Interest
4. Adaptive Data Cleaning
5. Basic Stylized Facrs
6. Modeling Seasonal Volatility
7. Relized Volatility Dynamics
8. Volatility Processes
9. Forcasting Risk and Return
10. Coprrelation and Multivariate Risk
11. Trading Models
12. Toward a Theory of Heterogeneous Markets

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