Has someone read the book "An Introduction to High-Frequency Finance"?

[Shlomi]

I'm thinking about buying the book, but its quite expensive.
Can someone recommend it?

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0122796713&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>

 

[dstefan]

The book will be available in the QuantLab by the end of the week, or by early next week.

 

[Lou Belle]

Yes, I read the book a few years back and have referred back to it a few times. The book is about high-frequency FX econometrics. No other instruments are covered.

A fair amount of the book discusses empirical findings that are unique to the spot FX markets. There are sections on tick data filtering and time series properties such as scaling laws that can be applied to non-FX markets. But, the best parts of the book are when they apply these tools to the FX markets and reveal their own findings.

While I found the book to be very informative, if you are interested in high frequency econometrics generally and not FX specifically then I wouldn't consider this to be a necessary purchase.

 

[doug reich]

While I found the book to be very informative, if you are interested in high frequency econometrics generally and not FX specifically then I wouldn't consider this to be a necessary purchase.

This begs the question, what would you suggest as a general high frequency text?

 

[Lou Belle]

Doug,
I think the topics covered by Dacorogna, et al. w.r.t. high frequency financial data are covered more generally in the "Econophysics" category. For instance, look at "An Introduction to Econophysics: Correlations and Complexity in Finance". I haven't read this book but looking at the TOC it covers most of what is in the Dacorogna book and goes a few steps further. I wouldn't mind owning it.

-Lou


<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0521039878&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>