Handbook of Modeling High-Frequency Data in Finance

Handbook of Modeling High-Frequency Data in Finance

Editor(s): Frederi G. Viens, Maria C. Mariani, Ionuţ Florescu

Published Online: 7 NOV 2011 08:50AM EST

Print ISBN: 9780470876886

Online ISBN: 9781118204580

DOI: 10.1002/9781118204580

About this Book


In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in Finance addresses the many theoretical and practical questions raised by the nature and intrinsic properties of this data.

A one-stop compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics, and the modern financial business arena. Every chapter uses real-world examples to present new, original, and relevant topics that relate to newly evolving discoveries in high-frequency finance, such as:

  • Designing new methodology to discover elasticity and plasticity of price evolution

  • Constructing microstructure simulation models

  • Calculation of option prices in the presence of jumps and transaction costs

  • Using boosting for financial analysis and trading

The handbook motivates practitioners to apply high-frequency finance to real-world situations by including exclusive topics such as risk measurement and management, UHF data, microstructure, dynamic multi-period optimization, mortgage data models, hybrid Monte Carlo, retirement, trading systems and forecasting, pricing, and boosting. The diverse topics and viewpoints presented in each chapter ensure that readers are supplied with a wide treatment of practical methods.

Handbook of Modeling High-Frequency Data in Finance is an essential reference for academics and practitioners in finance, business, and econometrics who work with high-frequency data in their everyday work. It also serves as a supplement for risk management and high-frequency finance courses at the upper-undergraduate and graduate levels.

Table of contents

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  1. Part One: Analysis of Empirical Data

  2. Part Two: Long Range Dependence Models

  3. Part Three: Analytical Results

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