Jump to ContentJump to Main Navigation
High-Frequency Financial Econometrics
Users without a subscription are not able to see the full content.

High-Frequency Financial Econometrics

Yacine Aït-Sahalia and Jean Jacod

Abstract

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. The book covers the mathem ... More

Keywords: high-frequency trading, financial data, stochastic processes, volatility, high-frequency econometrics, computerized trading, algorithm

Bibliographic Information

Print publication date: 2014 Print ISBN-13: 9780691161433
Published to Princeton Scholarship Online: October 2017 DOI:10.23943/princeton/9780691161433.001.0001

Authors

Affiliations are at time of print publication.

Yacine Aït-Sahalia, author
Princeton University

Jean Jacod, author
University of Chicago