Financial Markets Tick By Tick

Name: Financial Markets Tick By Tick
SKU: 41025
Price: 28.64 USD
Availability: InStock
Rating: 2.00 (1 reviews)

Rated 2 out of 5 based on 1 customer rating

(1 customer review)

$28.64

Categories: Algorithmic & Quant Trading, Commodities, Futures & Derivatives

Financial Markets Tick by Tick examines how high-frequency financial data can support volatility estimation, market analysis, forecasting, and systematic trading research. Edited by Pierre Lequeux, the book brings together 14 contributions from academics and market practitioners working with currency, equity, bond, and financial futures data.

The material follows three connected areas: volatility and risk, statistical features and forecasting, and practical market applications. Its methods include range-based volatility estimators, information-arrival models, high-frequency correlation analysis, stochastic analysis of trading rules, and portfolio modelling using wavelets and neural networks.

Empirical studies investigate questions such as how intraday activity affects volatility, where price discovery occurs between related markets, and how trading horizons influence measured risk and performance. The practical chapters extend this analysis to data preparation, quantitative currency overlays, and managed portfolios of futures positions.

Published in 1999, the book provides a historical research foundation for quantitative analysts and experienced traders studying intraday markets. Its mathematical treatment and empirical investigations suit readers with prior knowledge of financial statistics, time-series analysis, and derivatives.

✅ What You’ll Learn

Evaluate trading-range methods for estimating intraday volatility.
Compare informational proxies used to model equity prices and volatility.
Assess the volatility information contained in frequent foreign-exchange quotations.
Analyse high-frequency correlations and their dependence on measurement horizons.
Investigate intraday patterns in returns, volume, spreads, and price extremes.
Examine price discovery and information transmission between related cash and futures markets.
Relate trading-rule profitability to underlying time-series properties.
Identify data collection and preparation issues in derivatives research.
Understand quantitative currency-overlay design and futures portfolio applications.
Assess how trading horizons affect managed futures risk and performance.

💡 Key Benefits

Connects financial econometrics with practical trading and portfolio questions.
Provides multiple research approaches for evaluating intraday market behaviour.
Strengthens awareness of sampling horizons, data quality, and model assumptions.
Offers empirical studies that can inform the design of further quantitative research.
Places forecasting, risk estimation, and portfolio applications within one organised reference.

👤 Who This Book Is For

Intermediate to advanced quantitative traders researching systematic currency and futures strategies.
Quantitative analysts and financial researchers working with intraday data and time-series models.
Risk analysts and portfolio managers examining volatility, correlation, and trading-horizon effects.
Advanced finance students with a foundation in statistics, econometrics, and derivatives.

📚 Table of Contents

Efficient Estimation of Intra-day Volatility: A Method-of-Moments Approach Incorporating the Trading Range
Modelling Intra-day Equity Prices and Volatility Using Information Arrivals- A Comparative Study of Different Choices of Informational Proxies
The Incremental Volatility Information in One Million Foreign Exchange Quotations
Correlation of High-Frequency Financial Time Series
Highs and Lows: Times of the Day in the Currency CME Market
The Intra-day Behaviour of Key Market Variables for LIFFE Derivatives
Price Discovery and Market Integration in European Bond Markets
A Practical Approach to Information Spillover at High Frequency: Empirical Study of the Gilt and FTSE LIFFE Contracts
High-Frequency Random Walks?
Trading Rules Profits and the Underlying Time Series Properties
The Sources, Preparation and Use of High Frequency Data in the Derivatives Markets
The Design of a Quantitative Currency Overlay Program
Constructing A Managed Portfolio of High Frequency LIFFE Futures Positions
Is Short Tenn Better? An Insight Through Managed Futures Performances

Financial Markets Tick By Tick By Pierre Lequeux

Author(s)	Pierre Lequeux
Product Type	Ebook
Format	PDF
Skill Level	Intermediate to Advanced
Pages	427
Publication Year	1999
Delivery	Instant Download

1 review for Financial Markets Tick By Tick

Rated 2 out of 5

Marlon Yoder (verified owner) – July 24, 2023

“Financial markets tick by tick” came out in 1999 – the latest reference is from 1998 – and if one accepts its estimate that academic research on high-frequency financial data started in mid-1990s, the implication is that it covers five years of research – and omits the subsequent eleven and counting.

If being up-to-date is out of question, does the book merit attention based on its pedagogical value, as a collection of old but important papers? Not by a long shot: the papers are OK, but none (including the two by big-name contributors) struck me as of lasting or broad interest.

I was underwhelmed by editorial effort – the introductory overview attributed to one of the papers results it did not present, and at least one of the selections (currency overlays in Chapter 12) had nothing to do with high-frequency stuff but made the cut regardless, accompanied by editor’s own paper. It goes without saying that no proof-readers were involved in the project – this is a Wiley book, after all.

In 2020, there is no reason to buy this book: browsing SSRN will do you a lot more good.