5. High-Frequency Data Analysis and Market Microstructure

  1. Ruey S. Tsay

Published Online: 2 AUG 2010

DOI: 10.1002/9780470644560.ch5

Analysis of Financial Time Series, Third Edition, Third Edition

Analysis of Financial Time Series, Third Edition, Third Edition

How to Cite

Tsay, R. S. (2010) High-Frequency Data Analysis and Market Microstructure, in Analysis of Financial Time Series, Third Edition, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470644560.ch5

Author Information

  1. The University of Chicago Booth School of Business, Chicago, IL, USA

Publication History

  1. Published Online: 2 AUG 2010
  2. Published Print: 13 AUG 2010

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470414354

Online ISBN: 9780470644560

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