Financial Markets Tick By Tick - Insights In Financial Markets Microstructure

Financial Markets Tick by Tick Insights in Financial Markets Microstructure Edited by Pierre Lequeux "Financial Markets Tick by Tick is an in-depth and unique collection of analyses of the behaviour of the financial markets at the micro level. Its publication is particularly timely, given the current period of high volatility in the financial markets. LIFFE are proud to be associated with a text which features so many leading quantitative analysts, risk managers, academics and experts in this highly specialized field." Brian Williamson Executive Chairman, LIFFE The editor has brought together some of the acknowledged experts in the field to contribute on a subject of great timeliness across the finance sector. One could go as far as to say we are experiencing a renaissance in terms of how market players work on a day-to-day basis due to the high intra-day volatility of financial markets and the greater emphasis put on risk management. This book will provide essential reading matter for all those using high frequency data, in both the practitioner and academic markets alike.

Pierre Lequeux is Assistant Vice President at Banque Nationale de Paris, London which he joined in 1987. Pierre joined the BNP Quantitative Research and Trading desk in 1991 as a proprietary dealer after gaining experience on the Treasury and Corporate desk. After heading the Quantitative Research and Trading desk of BNP London where he developed a new active management currency benchmark (FXDX), he is now focusing his attention on developing Foreign Exchange Business for BNP. He is an active member of the editorial board of Derivatives Uses Trading & Regulation as well as the Editor of the AIMA newsletter's currency section. He is Chairman of the AIMA benchmark committee on "Review of Methodology and Utilisation of Alternative Investment Benchmarks" and also a member of the AIMA Currency Advisory Group.

HIGH FREQUENCY FINANCIAL SERIES, VOLATILITY AND RISK.

Efficient Estimation of Intra-day Volatility: A Method-of-Moments Approach Incorporating the Trading Range (R. Spurgin & T. Schneeweis).

Modelling Intra-day Equity Prices and Volatility Using Information Arrivals -
A Comparative Study of Different Choices of Informational Proxies (S. Lin, et al.).

The Incremental Volatility Information in One Million Foreign Exchange Quotation (S. Taylor & X. Xu).

Correlation of High Frequency Financial Time Series (M. Lundin, et al.).

Highs and Lows: Times of the Day in the Currency CME Market (E. Acar & R. Toffel).

STATISTICAL FEATURES OF HIGH FREQUENCY FINANCIAL SERIES AND FORECASTING.

The Intraday Behavior of Key Market Variables for Liffe Derivatives (O. Gwilym, et al.).

Price Discovery and Market Integration in European Bond Markets (A Holland).

A Practical Approach to Information Spillover at High Frequency: Empirical Study of the Gilt and FTSE Liffe Contracts (P. Lequeux).

A Random Walk down the Financial High Frequency Streets? (M. Gavridis, et al.).

Trading Rules Profits and the Underlying Times Series Properties (E. Acar & P. Lequeux).

HIGH FREQUENCY FINANCIAL SERIES AND MARKET PRACTITIONERS APPLICATIONS.

The Source, Preparation and Use of High Frequency Data in the Derivatives Markets (P. McGregor).

The Design of a Quantitative Currency Overlay Program (H. Dijkstra, et al.).

Constructing a Managed Portfolio of High Frequency Liffe Futures Positions (D. Toulson, et al.).

Index.