Introduction to High Frequency Financial Modelling

Stavros Degiannakis and Christos Floros

Chapter 1 in Modelling and Forecasting High Frequency Financial Data, 2015, pp 1-23 from Palgrave Macmillan

Abstract: Abstract The chapter presents an introduction to High Frequency Trading (HFT) and focuses on the role of volatility using case studies. Further, we discuss recent empirical researches on volatility forecasting and market microstructure.

Keywords: Stochastic Volatility; Implied Volatility; Price Discovery; High Frequency Data; Market Microstructure (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-39649-5_1

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DOI: 10.1057/9781137396495_1

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