Год выпуска: 2001 Автор: Michel M. Dacorogna, Ramazan Gencay, Ulrich A. Muller, Richard B. Olsen, Olivier V. Pictet Издательство: Academic Press Страниц: 416 ISBN: 0-12-279671-3, 978-0-12-279671-5
Описание
""An Introduction to High-Frequency Finance" by the research team from Olsen & Associates is an amazing presentation of their work over the last decade and a half examining high-frequency, primarily currency, data. The volume includes details of data handling, filtering methods, scaling procedures, volatility models, automatic market making and trading rules that for many years were proprietary information. I highly recommend the book for anyone using tick data." Robert Engle Формат: 15,5 см x 23,5 см.
