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The liquidity market generates hundreds or thousands of defects per working day (the smallest change in the price of securities, whether it is rising or falling). Data providers like Reuters send more than 275,000 a day for FX spot exchange rates only. Therefore, high-frequency data can be a basic target for research because traders make decisions by looking at high-frequency or time-stamped data. However, most studies published in the financial literature are about low-frequency, regularly-distributed data. For a variety of reasons, high-frequency data is becoming a way to understand the microstructure of the market. This book discusses the best mathematical models and tools for handling such large amounts of data.
This book provides a framework for the analysis, modeling, and reasoning of high-frequency financial time series. With particular emphasis on the foreign exchange market and currencies, interest rates, and bond futures markets, this unified view of high-frequency time series methods examines the price formation process and ends with a review of techniques for building a systemic trading model for financial assets.
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Orignal From: High-frequency financing
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