An Introduction to High-Frequency Finance

Newly published by Harcourt's Academic Press, Olsen's Introduction to High-Frequency Finance is the first and only source of unified information about this exciting young field. As Benoit Mandelbrot, Sterling Professor of Mathematical Sciences at Yale, comments: "At long last, the study of financial prices is moving beyond convenient oversimplifications. For providing much of the best data and an indispensable bridge between the financial and academic communities, this flowering is deeply indebted to the group led by Dr. Richard Olsen. (Their) work, which I often quote, has now been collected and extended in a book. I shall wear it out by constant use and it is a delight to recommend it to the emerging rational finance community."

Every business day, the financial markets generate millions of price ticks. Because traders make decisions by observing this constantly shifting pricing landscape, high-frequency data are fundamental objects of study. However, the use of these statistics to understand market microstructure is a fairly recent phenomenon, born of the use of high-speed computers and mathematical techniques derived from physics.

Co-authored by Richard Olsen and four leading researchers in the field, An Introduction to High-Frequency Finance provides a framework for the analysis, modeling and inference of high-frequency financial time series. With particular emphasis on the foreign exchange and money markets, the book investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models.