Front Cover -- AN INTRODUCTION TO HIGH-FREQUENCY FINANCE -- Copyright Page -- CONTENTS -- LIST OF FIGURES -- LIST OF TABLES -- PREFACE -- ACKNOWLEDGMENTS -- CHAPTER 1. INTRODUCTION -- 1.1 Markets: The Source of High-Frequency Data -- 1.2 Methodology of High-Frequency Research -- 1.3 Data Frequency and Market Information -- 1.4 New Levels of Significance -- 1.5 Interrelating Different Time Scales -- CHAPTER 2. MARKETS AND DATA -- 2.1 General Remarks on Markets and Data Types -- 2.2 Foreign Exchange Markets -- 2.3 Over-The-Counter Interest Rate Markets -- 2.4 Interest Rate Futures -- 2.5 Bond Futures Markets -- 2.6 Commodity Futures -- 2.7 Equity Markets -- CHAPTER 3. TIME SERIES of INTEREST -- 3.1 Time Series and Operators -- 3.2 Variables in Homogeneous Time Series -- 3.3 Convolution Operators -- 3.4 Microscopic Operators -- CHAPTER 4. ADAPTIVE DATA CLEANING -- 4.1 Introduction: Using a Filter to Clean the Data -- 4.2 Data and Data Errors -- 4.3 General Overview of the Filter -- 4.4 Basic Filtering Elements and Operations -- 4.5 The Scalar Filtering Window -- 4.6 The Full-Quote Filtering Window -- 4.7 Univariate Filtering -- 4.8 Special Filter Elements -- 4.9 Behavior and Effects of the Data Filter -- CHAPTER 5. BASIC STYLIZED FACTS -- 5.1 Introduction -- 5.2 Price Formation Process -- 5.3 Institutional Structure and Exogeneous Impacts -- 5.4 Distributional Properties of Returns -- 5.5 Scaling Laws -- 5.6 Autocorrelation and Seasonality -- CHAPTER 6. MODELING SEASONAL VOLATILITY -- 6.1 Introduction -- 6.2 A Model of Market Activity -- 6.3 A New Business Time Scale (ò-Scale) -- 6.4 Filtering Intraday Seasonalities With Wavelets -- CHAPTER 7. REALIZED VOLATILITY DYNAMICS -- 7.1 Introduction -- 7.2 The Bias of Realized Volatility and Its Correction -- 7.3 Conditional Heteroskedasticity -- 7.4 The Heterogeneous Market Hypothesis.

CHAPTER 8. VOLATILITY PROCESSES -- 8.1 Introduction -- 8.2 Intraday Volatility and GARCH Models -- 8.3 Modeling Heterogeneous Volatilities -- 8.4 Forecasting Short-Term Volatility -- CHAPTER 9. FORECASTING RISK AND RETURN -- 9.1 Introduction to Forecasting -- 9.2 Forecasting Volatility for Value-at-Risk -- 9.3 Forecasting Returns over Multiple Time Horizons -- 9.4 Measuring Forecast Quality -- CHAPTER 10. CORRELATION AND MULTIVARIATE RISK -- 10.1 Introduction -- 10.2 Estimating the Dependence of Financial Time Series -- 10.3 Covolatility Weighting -- 10.4 Stability of Return Correlations -- 10.5 Correlation Behavior at High Data Frequencies -- 10.6 Conclusions -- CHAPTER 11. TRADING MODELS -- 11.1 Introduction -- 11.2 Real-Time Trading Strategies -- 11.3 Risk Sensitive Performance Measures -- 11.4 Trading Model Algorithms -- 11.5 Optimization and Testing Procedures -- 11.6 Statistical Study of a Trading Model -- 11.7 Trading Model Portfolios -- 11.8 Currency Risk Hedging -- CHAPTER 12. TOWARD A THEORY of HETEROGENEOUS MARKETS -- 12.1 Definition of Efficient Markets -- 12.2 Dynamic Markets and Relativistic Effects -- 12.3 Impact of the New Technology -- 12.4 Zero-Sum Game or Perpetuum Mobile? -- 12.5 Discussion of the Conventional Definition -- 12.6 An Improved Definition of "Efficient Markets" -- BIBLIOGRAPHY -- INDEX.