Forums  > Books & Papers  > An update to "An introduction to high-frequency finance"  
     
Page 1 of 1
Display using:  

urnash


Total Posts: 560
Joined: Sep 2006
 
Posted: 2007-08-20 13:06

Does anybody know a good starting place to learn the latest research and results in (for want of a better word) High Frequency Finance?

There is of course, the excellent book by Gencay, Dacorogna et. al. (which was discussed here and briefly here), but it is already more than 6 years old. And as far as I know there are no new books about this subject. But maybe I am wrong! Or are there nice articles that broadly explain the latest results? A search for finance and high frequency in Google Scholar turned up 3280 results since 2005. Any pointers are much appreciated!

After all, there is no reason to reinvent the wheel (as long as it is not proprietary). Thanks in advance!

 


mattcushman: happiness levels are a I(0) process, not I(1).

henderson


Total Posts: 175
Joined: Jul 2007
 
Posted: 2007-08-20 13:27
Check out Olsen's site.

Olsen's research library

urnash


Total Posts: 560
Joined: Sep 2006
 
Posted: 2007-08-24 14:55

henderson: thanks for your reply, and sorry for my late acknowledgment of it.

Re-reading this mail I see that it is rather generic. I should have specified a bit more what I was interested in. Sorry. I will post a more specific question later, but right now the priority on this project has changed...


mattcushman: happiness levels are a I(0) process, not I(1).

Omega


Total Posts: 426
Joined: Jul 2006
 
Posted: 2016-11-29 19:37
So I'm starting a high freq role next year in Jan. Can anyone direct me to some relatively decent up to date papers in this area? Micro structure and / or latency related.
Previous Thread :: Next Thread 
Page 1 of 1