high frequency market data analysis

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 05/03/2001
03:34 PM ---------------------------

Zimin Lu
05/03/2001 03:31 PM
To: Stinson Gibner/HOU/ECT@ECT, Bob Lee/NA/Enron@Enron
cc: Vince J Kaminski/HOU/ECT@ECT
Subject: high frequency market data analysis

Stinson,

We are going to update you and Vince the progress of the EOL George project.
Friday, 9:30AM - 10:00AM in EB 1938.

Bob,

We may get some other ideas from the following book, take a look to see if it
is worth to buy one.

---------------------------------------

http://www.riskpublications.com/books/index.html

Risk Executive Reports ? ?
? High-Frequency Financial Market Data
Sources, Applications and Market Microstructure
By Dr Owain ap Gwilym and Professor Charles Sutcliffe, School of Management,
University of Southampton, UK
A high-quality, non-technical resource on an increasingly invaluable topic
for all users of high-frequency data.
10 sections cover the many aspects of high-frequency data by covering a broad
set of information ranging from data suppliers to detailed research angles
Topics covered include: managing HFD; arbitrage opportunities; intra-day
seasonalities; regulation; market efficiency and market making.

Format
Price
Report
o175/US$280
A4, 162pp
Published: August 1999

Review | Table of Contents | Order Now in o | Order Now in $

For other titles of interest please click here:
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High-Frequency Financial Market Data

CONTENTS
1. Introduction and overview
Overview and background
The motivation and demand for high-frequency data
The uses of high-frequency data
Structure of this report
2. Sources and Types of High-Frequency Data
Types of data
Data supplied by exchanges
Panel 2.1 (by Paul MacGregor, Liffe) - The sourcing and preparation of Liffe
tick data
Specialist data providers
Real-time data providers
Summary
3. Managing and Exploiting High-Frequency Data
Panel 3.1 - Illustrative high-frequency data
Data storage, filtering and cleaning
The treatment of time
Panel 3.2 - Olsen filtering system
Constructing continuous series
Key considerations in manipulating high-frequency data
Modelling issues
Summary of chapter
4. Arbitrage Opportunities in Equity Markets
What is arbitrage?
Empirical studies of arbitrage opportunities
Arbitrage in equity markets
Individual arbitrage trades
5. Intra-Day Seasonalities
Intra-day patterns in returns
Intra-day patterns in volume
Intra-day patterns in volatility
Intra-day patterns in the bid-ask spread
Intra-day patterns in the autocorrelation of returns
Intra-day patterns in hedge ratios
Other intra-day patterns
Effects of news announcements on intra-day patterns
The turn-of-the-year effect and high-frequency data
Conclusions
6. Links Between Markets
Leads and lags in prices between different types of market based on the same
asset
The 1987 stock market crash
Leads and lags in price volatility
Links between geographically separated markets
Rival markets
7. Destabilisation of Markets
Relative volatility
Programme trading and volatility
Price movements at expiration
Conclusions
8. Regulations Governing the Markets
Regulation of dual capacity
Circuit breakers
Restrictions on short selling
Taxes on transactions
Tick size and price clustering
Delayed publication of trades
Conclusions
9. Market Efficiency
Weak-form efficiency
Semi-strong-form efficiency
Conclusions
10. Market MakingRevision of prices
Other aspects of financial markets
Determinants of the bid-ask spread
Block trades
Conclusions
11. Conclusion and Future Developments
References
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