High Frequency Financial Econometrics

Recent Developments

  • Luc Bauwens
  • Winfried Pohlmeier
  • David Veredas

Part of the Studies in Empirical Economics book series (STUDEMP)

Table of contents

  1. Front Matter
    Pages i-vi
  2. Luc Bauwens, Winfried Pohlmeier, David Veredas
    Pages 1-5
  3. Luc Bauwens, Dagfinn Rime, Genaro Sucarrat
    Pages 7-29
  4. Katarzyna Bien, Ingmar Nolte, Winfried Pohlmeier
    Pages 31-48
  5. Pierre Giot, Joachim Grammig
    Pages 111-131
  6. Anthony D. Hall, Nikolaus Hautsch
    Pages 133-165
  7. Roman Liesenfeld, Ingmar Nolte, Winfried Pohlmeier
    Pages 167-197
  8. Juan M. Rodríguez-Poo, David Veredas, Antoni Espasa
    Pages 225-251

About this book


This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order aggressiveness in pure limit order book markets. The chapters on tick-by-tick data present statistical techniques for the analysis of the discrete nature of price movements, the intraday seasonal patterns of financial durations, and the joint probability law of prices, volume and durations. Bond markets are brought into focus through the analysis of macroeconomic announcements in the future bond market as a function of the business cycle. Exchange markets are examined from two perspectives: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the euro/dollar exchange rate. Last, dynamic modelling of large dimensional covariance matrices is also presented. Shedding light on some of the most relevant open questions in the analysis of high frequency data, this volume will be of interest to graduate students, researchers and industry professionals.


Finance High Frequency Finance Market Microstructure Monte Carlo Simulation Simulation count data dynamics econometrics futures liquidity modeling trading volatility

Editors and affiliations

  • Luc Bauwens
    • 1
  • Winfried Pohlmeier
    • 2
  • David Veredas
    • 3
  1. 1.COREVoie du Roman PaysLouvain-la-NeuveBelgium
  2. 2.Department of EconomicsUniversity of KonstanzKonstanzGermany
  3. 3.ECARESUniversité Libre des BruxellesBrusselsBelgium

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-7908-1992-2
  • Copyright Information Physica-Verlag Heidelberg 2008
  • Publisher Name Physica-Verlag HD
  • eBook Packages Business and Economics
  • Print ISBN 978-3-7908-1991-5
  • Online ISBN 978-3-7908-1992-2
  • About this book