Table of contents for Financial markets tick by tick : insights in financial markets microstructure / edited by Pierre Lequeux.


Bibliographic record and links to related information available from the Library of Congress catalog


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HIGH FREQUENCY FINANCIAL SERIES, VOLATILITY AND RISK.
Efficient Estimation of Intra-day Volatility: A Method-of-Moments Approach Incorporating the Trading Range (R. Spurgin & T. Schneeweis).
Modelling Intra-day Equity Prices and Volatility Using Information Arrivals - A Comparative Study of Different Choices of Informational Proxies (S. Lin, et al.).
The Incremental Volatility Information in One Million Foreign Exchange Quotation (S. Taylor & X. Xu).
Correlation of High Frequency Financial Time Series (M. Lundin, et al.).
Highs and Lows: Times of the Day in the Currency CME Market (E. Acar & R. Toffel).
STATISTICAL FEATURES OF HIGH FREQUENCY FINANCIAL SERIES AND FORECASTING.
The Intraday Behavior of Key Market Variables for Liffe Derivatives (O. Gwilym, et al.).
Price Discovery and Market Integration in European Bond Markets (A Holland).
A Practical Approach to Information Spillover at High Frequency: Empirical Study of the Gilt and FTSE Liffe Contracts (P. Lequeux).
A Random Walk down the Financial High Frequency Streets? (M. Gavridis, et al.).
Trading Rules Profits and the Underlying Times Series Properties (E. Acar & P. Lequeux).
HIGH FREQUENCY FINANCIAL SERIES AND MARKET PRACTITIONERS APPLICATIONS.
The Source, Preparation and Use of High Frequency Data in the Derivatives Markets (P. McGregor).
The Design of a Quantitative Currency Overlay Program (H. Dijkstra, et al.).
Constructing a Managed Portfolio of High Frequency Liffe Futures Positions (D. Toulson, et al.).
Index.


Library of Congress subject headings for this publication: Money market Mathematics, Capital market Mathematics