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An Introduction to High-Frequency Finance

An Introduction to High-Frequency Finance

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4.85
66,823 ratings · 8,157 reviews
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An Introduction to High-Frequency Finance

An Introduction to High-Frequency Finance

4.85 66,823 ratings · 8,157 reviews
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Overview: Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.

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Pages N/A
Language Eng
Published January 1, 2001
ISBN 274204
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Michel M. Dacorogna
About the Author
Michel M. Dacorogna
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Michel M. Dacorogna is the author of several novels. Originally from the East Coast, they now live in the Midwest with family. In addition to writing, Michel M. Dacorogna enjoys gardening, cooking, and reading way past bedtime. Their work often explores the complexities of everyday life and human relationships.

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Paul Wilson
Paul Wilson April 03, 2025
Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I am now a lifelong fan of this author.
Steven Carter
Steven Carter December 21, 2024
Honestly one of the most premium reading experiences lately. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece.
Stephanie Martinez
Stephanie Martinez March 08, 2025
Honestly one of the most premium reading experiences lately. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
Andrew Lopez
Andrew Lopez July 30, 2024
An acceptable diversion. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Unlikely to reread, but a reasonable expenditure of time.
Barbara Young
Barbara Young October 31, 2024
I thoroughly enjoyed the elegance of it. The middle had a deliberate pace, but the climax was phenomenal. I would highly recommend this to discerning readers.
Daniel Torres
Daniel Torres October 12, 2025
A decent, if standard, experience. The prose was competent, yet the characters lacked the depth I usually seek. A fair 3 stars.
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Edward Young April 07, 2025
Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre.
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Mark Lewis December 01, 2024
Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
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I was completely blown away. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author.
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Donald Edwards April 08, 2024
Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
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Matthew Jackson October 30, 2024
Honestly one of the most premium reading experiences lately. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
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Carol Gomez February 13, 2024
Such a rich narrative. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem.
Ashley Green
Ashley Green February 15, 2024
Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
George Rodriguez
George Rodriguez February 07, 2025
Absolutely brilliant. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
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Sarah Thomas November 09, 2025
Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem.
Betty Evans
Betty Evans April 09, 2025
A very strong entry. The middle had a deliberate pace, but the climax was phenomenal. A very distinguished novel.
Matthew Reyes
Matthew Reyes June 28, 2025
Not entirely to my refined tastes. Certain acts were fascinating, while others felt like a slight endeavor to complete. Perhaps more aligned with a different audience's tastes.
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Andrew Lewis August 24, 2025
Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece.
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A highly sophisticated read. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A very distinguished novel.
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Dorothy Johnson January 15, 2024
I was completely blown away. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars.
Joseph Lopez
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I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
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Excellent, though slightly flawed. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. I would highly recommend this to discerning readers.
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A profoundly satisfying read. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece.
Joseph  Davis
Joseph Davis November 27, 2024
Excellent, though slightly flawed. The middle had a deliberate pace, but the climax was phenomenal. A very distinguished novel.
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Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. A very distinguished novel.
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Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
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Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece.
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I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
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Mark Thompson November 16, 2024
Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece.
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Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
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Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece.
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Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
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Took a moment to build, but the payoff was spectacular. It held my rapt attention, even when certain twists were telegraphed. Quite impressive overall.
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Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
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Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall.
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Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
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A highly sophisticated read. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. I would highly recommend this to discerning readers.
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A highly sophisticated read. The middle had a deliberate pace, but the climax was phenomenal. A wonderful companion for a quiet weekend.
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Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I am now a lifelong fan of this author.
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Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem.
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Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
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Deborah Smith September 04, 2024
I thoroughly enjoyed the elegance of it. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend.
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Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
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Rebecca Clark October 21, 2025
I thoroughly enjoyed the elegance of it. It held my rapt attention, even when certain twists were telegraphed. A solid 4 stars from me.
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Took a moment to build, but the payoff was spectacular. The protagonist was compelling, though some subplots felt slightly overshadowed. I would highly recommend this to discerning readers.
Gary Edwards
Gary Edwards August 14, 2024
A highly sophisticated read. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me.
Steven Diaz
Steven Diaz December 31, 2024
Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I will undoubtedly revisit this masterpiece.
Lisa Campbell
Lisa Campbell August 27, 2024
Such a rich narrative. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading.
Michael Harris
Michael Harris February 11, 2024
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Lisa Campbell
Lisa Campbell September 24, 2024
Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars.
Brian Reyes
Brian Reyes May 14, 2024
A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I will undoubtedly revisit this masterpiece.
Betty Reyes
Betty Reyes May 02, 2024
Excellent, though slightly flawed. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall.
Nancy Gomez
Nancy Gomez February 20, 2024
Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
Robert Clark
Robert Clark April 22, 2024
Not entirely to my refined tastes. The prose was competent, yet the characters lacked the depth I usually seek. Perhaps more aligned with a different audience's tastes.
Paul Williams
Paul Williams May 05, 2024
A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
Lisa Adams
Lisa Adams June 21, 2024
Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
Eric Ramirez
Eric Ramirez May 22, 2024
A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars.
Ryan Torres
Ryan Torres February 03, 2024
Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem.
Christopher  Davis
Christopher Davis November 26, 2025
Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre.
Jennifer Scott
Jennifer Scott September 09, 2024
I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece.
Sharon Phillips
Sharon Phillips July 09, 2025
Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
Andrew Torres
Andrew Torres November 21, 2025
I was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
Nancy Ramirez
Nancy Ramirez March 30, 2024
Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
Dorothy Wright
Dorothy Wright November 15, 2025
I was completely blown away. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
John Campbell
John Campbell April 09, 2025
Not entirely to my refined tastes. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Perhaps more aligned with a different audience's tastes.
George Ramirez
George Ramirez November 27, 2024
A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. A very distinguished novel.
Deborah Smith
Deborah Smith March 30, 2024
Absolutely brilliant. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece.
John Smith
John Smith July 15, 2025
A very strong entry. The protagonist was compelling, though some subplots felt slightly overshadowed. I would highly recommend this to discerning readers.
Edward Walker
Edward Walker December 04, 2025
A highly sophisticated read. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me.
Anthony Green
Anthony Green August 17, 2024
Such a rich narrative. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre.
Nancy Miller
Nancy Miller October 15, 2025
Such a rich narrative. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars.
Susan Adams
Susan Adams June 02, 2024
Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
Joseph Gonzalez
Joseph Gonzalez March 09, 2025
Honestly one of the most premium reading experiences lately. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. A true literary gem.
Paul Adams
Paul Adams March 26, 2024
Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem.
Richard Green
Richard Green January 19, 2025
Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
Matthew Phillips
Matthew Phillips April 21, 2024
A very strong entry. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. I would highly recommend this to discerning readers.
Dorothy Reyes
Dorothy Reyes August 03, 2024
I thoroughly enjoyed the elegance of it. A brilliant concept executed with flair. Just a few pacing choices I would change. I would highly recommend this to discerning readers.
Jessica Lewis
Jessica Lewis November 01, 2024
Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem.
Mark Thompson
Mark Thompson January 26, 2025
Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
Stephanie Martinez
Stephanie Martinez February 05, 2024
Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. Worth every moment spent reading.
Mary Jackson
Mary Jackson January 12, 2025
A very strong entry. It held my rapt attention, even when certain twists were telegraphed. Quite impressive overall.
Stephanie Thomas
Stephanie Thomas May 21, 2025
Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. Worth every moment spent reading.
Gary Edwards
Gary Edwards May 05, 2024
I find myself somewhat conflicted. It verged on repetitive in the second act. A more concise edit would have served it well. Perhaps more aligned with a different audience's tastes.
Daniel Clark
Daniel Clark May 27, 2025
Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
Stephanie Mitchell
Stephanie Mitchell December 08, 2025
I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
Sharon Hill
Sharon Hill January 01, 2024
Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. A wonderful companion for a quiet weekend.
George Roberts
George Roberts March 06, 2024
Honestly one of the most premium reading experiences lately. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars.
John  Parker
John Parker June 11, 2025
Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
Charles Hernandez
Charles Hernandez January 07, 2024
Honestly one of the most premium reading experiences lately. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
Mark Evans
Mark Evans July 09, 2024
A very strong entry. The middle had a deliberate pace, but the climax was phenomenal. A very distinguished novel.
Robert Brown
Robert Brown August 24, 2025
A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
Ryan Evans
Ryan Evans April 25, 2025
A highly sophisticated read. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall.
Nancy Wright
Nancy Wright May 06, 2024
I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
Emily Torres
Emily Torres April 30, 2024
Such a rich narrative. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author.
Brian Lopez
Brian Lopez September 09, 2025
I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
Laura Johnson
Laura Johnson December 08, 2024
I thoroughly enjoyed the elegance of it. It held my rapt attention, even when certain twists were telegraphed. I would highly recommend this to discerning readers.
Robert Moore
Robert Moore August 07, 2025
I thoroughly enjoyed the elegance of it. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall.
Matthew Jackson
Matthew Jackson February 18, 2024
A very strong entry. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend.
Nancy Rivera
Nancy Rivera June 19, 2025
Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. A true literary gem.
Paul Nelson
Paul Nelson November 22, 2024
A very strong entry. The protagonist was compelling, though some subplots felt slightly overshadowed. I would highly recommend this to discerning readers.
Deborah Nguyen
Deborah Nguyen July 07, 2025
Not entirely to my refined tastes. The prose was competent, yet the characters lacked the depth I usually seek. Suitable if your reading queue is empty.
Nancy Hernandez
Nancy Hernandez October 08, 2024
A highly sophisticated read. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A wonderful companion for a quiet weekend.
George Wright
George Wright June 10, 2025
It was adequate. The tempo was somewhat languid, and I found my mind wandering. Not poor, simply average. Perfectly average.
Betty Nelson
Betty Nelson March 11, 2024
Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
Daniel Adams
Daniel Adams April 30, 2025
A highly sophisticated read. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A very distinguished novel.
Karen Taylor
Karen Taylor August 06, 2024
Absolutely brilliant. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
Eric Ramirez
Eric Ramirez February 25, 2025
I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
Sharon Rodriguez
Sharon Rodriguez December 17, 2025
Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
Andrew Adams
Andrew Adams October 15, 2025
Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
Joseph Cruz
Joseph Cruz November 29, 2025
Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece.
David Roberts
David Roberts September 24, 2024
Such a rich narrative. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
Andrew Allen
Andrew Allen September 25, 2025
Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre.
Sarah Moore
Sarah Moore April 20, 2024
Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem.
Laura  Parker
Laura Parker May 23, 2025
Took a moment to build, but the payoff was spectacular. A brilliant concept executed with flair. Just a few pacing choices I would change. A solid 4 stars from me.
Ashley Jones
Ashley Jones June 28, 2024
Took a moment to build, but the payoff was spectacular. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. I would highly recommend this to discerning readers.
Karen Campbell
Karen Campbell June 11, 2024
Masterpiece from start to finish. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
Patricia Edwards
Patricia Edwards September 05, 2025
A profoundly satisfying read. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
Ryan Flores
Ryan Flores February 25, 2024
Excellent, though slightly flawed. The middle had a deliberate pace, but the climax was phenomenal. Quite impressive overall.
Sarah Scott
Sarah Scott March 10, 2025
Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
Betty Lee
Betty Lee May 05, 2024
A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An effortless 5 stars.
Patricia Edwards
Patricia Edwards December 13, 2024
Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
Paul Miller
Paul Miller March 29, 2025
A very strong entry. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall.
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