Overview

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Ait-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Ait-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model.As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Ait-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

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9780691161433

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Reviews

The authors are well established and are at the forefront of this specialised research area. Together they bring a wealth of knowledge to this book. . . . This text is a great resource for PhD-level courses and a great reference for researchers in the area of high-frequency financial econometrics. It is a fine scholarly book that comprehensively brings readers up to date with very recent developments in the high-frequency financial econometrics literature. --Ole Worapree Maneesoonthorn, Economic Record

This book is simply breathtaking. High-Frequency Financial Econometrics is a serious scholarly contribution that, wonderfully, will also be of great interest to practitioners. --Francis X. Diebold, coauthor of Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach An important and timely work by two of the leading experts in high-frequency data. A t-Sahalia and Jacod take readers to the very forefront of this rapidly evolving area. They cover both the practical side of financial data and the mathematical theory of stochastic processes, and show how to connect the two. High-Frequency Financial Econometrics is a must-read for academics and practitioners alike. --Per Mykland, University of Chicago This comprehensive and accessible book provides a valuable introduction to the recently developed tools for modeling and inference based on very high-frequency financial data. A wonderful achievement, High-Frequency Financial Econometrics is destined to become a classic. --Torben G. Andersen, Northwestern University The authors are well established and are at the forefront of this specialised research area. Together they bring a wealth of knowledge to this book. . . . This text is a great resource for PhD-level courses and a great reference for researchers in the area of high-frequency financial econometrics. It is a fine scholarly book that comprehensively brings readers up to date with very recent developments in the high-frequency financial econometrics literature.---Ole Worapree Maneesoonthorn, Economic Record

Author Information

Yacine At-Sahalia is the Otto A. Hack 1903 Professor of Finance and Economics and director of the Bendheim Center for Finance at Princeton University. He is the coeditor of the Handbook of Financial Econometrics. Jean Jacod is professor at the Institut de Mathematiques de Jussieu in Paris. His books include Discretization of Processes.

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