This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.
Markets and Data.
Time Series of Interest.
Adaptive Data Cleaning.
Basic Stylized Facts.
Modeling Seasonal Volatility.
Realized Volatility Dynamics.
Forecasting Risk and Return.
Correlation and Multivariate Risk.
Toward a Theory of Heterogeneous Markets.
Ramazan Gençay is a professor in the economics department at Simon Fraser University. His areas of specialization are financial econometrics, nonlinear time series, nonparametric econometrics, and chaotic dynamics. His publications appear in finance, economics, statistics and physics journals. His work has appeared in the Journal of the American Statistical Association, Journal of Econometrics, and Physics Letters A.Dacorogna, Michel
Muller, Ulrich A.