Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data. This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.
This book is a long-term history of optics, from early Greek theories of vision to the nineteenth-century victory of the wave theory of light. It is a clear and richly illustrated synthesis of a large amount of literature, and a reliable and efficient guide for anyone who wishes to enter this domain.
Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data. This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.
Voici une rétrospective de la production d'Olivier Mosset, de 1966 à 2003. Le livre propose de nouvelles lectures en mettant l'accent sur certaines lignes de force qui sous-tendent l'oeuvre de Mosset (l'appropriation et la question de la signature, la répétition et la désublimation du monochrome, etc.).
Each financial crisis calls for — by its novelty and the mechanisms it shares with preceding crises — appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as “jumps”, play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision.This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful.
This book is a long-term history of optics, from early Greek theories of vision to the nineteenth-century victory of the wave theory of light. It is a clear and richly illustrated synthesis of a large amount of literature, and a reliable and efficient guide for anyone who wishes to enter this domain.
The world is warming up rapidly and this change is most noticeable in mountains with already observable consequences on flora and fauna. This book presents concepts, methodologies and major achievements of recent research in climate change ecology in mountains by placing this research in a historical perspective, that of travelers and naturalists of the Romantic era, and first of all Alexander von Humboldt. There is now a renewed interest, both in academia and beyond, in Humboldt, his writings and his view of nature. But how can we actually make use of his writings? How can we put his philosophy into practice? How can we still learn from past scientific figures and do a better science today? In this book, the author presents how it is possible to succeed in modern science by returning to sources, by renewing the tradition of past polymaths such as Humboldt, and by having a fully humanistic approach in science. He illustrates his point based on his 15-year experience in the study of the ecological effects of climate change in the tropical Andes, showing how he has incorporated approaches from other disciplines, from different branches of science, from history and the arts to achieve a more comprehensive view of his scientific field. Alongside hard data, discoveries by past naturalists build our understanding of the world but appealing to our emotions makes us want to understand it. In the author’s view this is a productive and enjoyable way of doing science that speaks to our humanity and also increases our knowledge about nature. This academic cross-over book appeals to a broad audience of students, scientists or, supported by attractive illustrations, to anyone interested in the adventure or making of science, but not necessarily with a scientific background.
This book analyzes the way in which restaurants are geographical objects that reveal locational logics and strategies, and how restaurants weave close relationships with the space in which they are located. Originating from cities, restaurants feed off the urban environment as much as they feed it ? participating in the qualification, differentiation and hierarchy of cities. Indeed, restaurants in both the city and the countryside maintain a dialogical relationship with tourism. They can be vital players in the establishment of emerging types of gourmet tourism, sometimes even constituting as gourmet tourist destinations in their own right. They participate in the establishment of necessary conditions for local development. Some restaurants are even praised as historic sites, recognized as part of the local heritage, which reinforces their localization and their identity as a gourmet tourist destination.
This book recounts the developments of fundamental electrodynamics from Ampère's investigation of the forces between electric currents to Einstein's introduction of a new doctrine of space and time. The emphasis is on the diverse, evolving practices of electrodynamics and the interactions between the corresponding scientific traditions. A richly documented, clearly written, and abundantly illustrated history of the subject.
Where do turtles hail from? Why and how did they acquire shells? These questions have spurred heated debate and intense research for more than two hundred years. Brilliantly weaving evidence from the latest paleontological discoveries with an accessible, incisive look at different theories of biological evolution and their proponents, Turtles as Hopeful Monsters tells the fascinating evolutionary story of the shelled reptiles. Paleontologist Olivier Rieppel traces the evolution of turtles from over 220 million years ago, examining closely the relationship of turtles to other reptiles and charting the development of the shell. Turtle issues fuel a debate between proponents of gradual evolutionary change and authors favoring change through bursts and leaps of macromutation. The first book-length popular history of its type, this indispensable resource is an engaging read for all those fascinated by this ubiquitous and uniquely shaped reptile.
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