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An Introduction to High-Frequency Finance Dacorogna
Publisher: Academic Press

An introduction to high frequency finance. (2) using five-year average data; (3) avoiding instruments that introduce high-frequency correlations with financial shocks; and (4) not including lagged NOFA among the auxiliary variables. Have a look at this decent intro to algorithmic trading, just to get a sense of this works. Thanks a lot, Nice blog, btw"Mauricio on downloading free financial data; "I've just discovered a good blog on algo #trading (softwaretrading.co.uk). (This article was first published on The Research Kitchen » R, and kindly contributed to R-bloggers). Intro to high frequency trading. Shows a lot of the practical details that are very glossed over in academic papers and quickie whitepapers. An Introduction to High-Frequency Finance. An Introduction to High-Frequency Finance (Hardcover) http://www.amazon.com/Introduction-High-Frequency-Finance-Ramazan-Gen%C3%A7ay/dp A friend of mine highly recommended this book today. Nice 2001 book by dacorogna et al. The focus is actually more on high-frequency trading. I'll bet that's not your own investment objective. In actuality I now believe with the introduction of more firms that profit has now been trimmed to a lower amount especially onthe most liquid issues. An introduction to high-frequency finance‎; by Michel M. Posted by softwaretrading on June 15, 2012 · Leave a Comment. Daniel Weaver, Professor of Finance and Associate Director for Whitcomb Center for Research in Financial Services, points out that the average high-frequency trader's profit is $0.10 on 100 shares traded. Gary L Says: October 17th, 2011 at 4:05 pm. Density Estimation of High-Frequency Financial Data. Wouldn't it be more fruitful to spend my time on learning more about high frequency finance, machine learning, etc., as JackSheng has mentioned?