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Introduction to High Frequency Financial Modelling

In: Modelling and Forecasting High Frequency Financial Data

Author

Listed:
  • Stavros Degiannakis
  • Christos Floros

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.

Suggested Citation

  • Stavros Degiannakis & Christos Floros, 2015. "Introduction to High Frequency Financial Modelling," Palgrave Macmillan Books, in: Modelling and Forecasting High Frequency Financial Data, chapter 1, pages 1-23, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-39649-5_1
    DOI: 10.1057/9781137396495_1
    as

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