Intro -- Title page -- Copyright -- Notes on Contributors -- Editors -- List of Contributors -- Preface -- Chapter 1 Trends and Trades -- 1.1 Introduction -- 1.2 A trend-based trading strategy -- 1.3 CUSUM timing -- 1.4 Example: Random walk on ticks -- 1.5 CUSUM strategy Monte Carlo -- 1.6 The...

CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in...

"This book falls broadly in the area of financial mathematics. It presents a multitude of topics that are relevant to the quantitative finance community. Experts in teaching and active in research, the authors aim to discuss theory in the context of applications to specific practical problems....