This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order aggressiveness in pure limit order book markets. The chapters on tick-by-tick data present statistical techniques for the analysis of the discrete nature of price movements, the intraday seasonal patterns of financial durations, and the joint probability law of prices, volume and durations. Bond markets are brought into focus through the analysis of macroeconomic announcements in the future bond market as a function of the business cycle. Exchange markets are examined from two perspectives: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the euro/dollar exchange rate. Last, dynamic modelling of large dimensional covariance matrices is also presented. Shedding light on some of the most relevant open questions in the analysis of high frequency data, this volume will be of interest to graduate students, researchers and industry professionals.
Editor's introduction: recent developments in high frequency financial econometrics by L. Bauwens and W. Pohlmeier and D. Veredas 1
Exchange rate volatility and the mixture of distribution hypothesis by L. Bauwens and D. Rime and G. Sucarrat 7
A multivariate integer count hurdle model: theory and application to exchange rate dynamics by K. Bien and I. Nolte and W. Pohlmeier 31
Asymmetries in bid and ask responses to innovations in the trading process by A. Escribano and R. Pascual 49
Liquidity supply and adverse selection in a pure limit order book market by S. Frey and J. Grammig 83
How large is liquidity risk in an automated auction market? by P. Giot and J. Grammig 111
Order aggressiveness and order book dynamics by A. D. Hall and N. Hautsch 133
Modelling financial transaction price movements: a dynamic integer count data model by R. Liesenfeld and I. Nolte and W. Pohlmeier 167
The performance analysis of chart patterns: Monte Carlo simulation and evidence from the euro/dollar foreign exchange market by W. B. Omrane and H. Van Oppens 199
Semiparametric estimation for financial durations by J. M. Rodriguez-Poo and D. Veredas and A. Espasa 225
Intraday stock prices, volume, and duration: a nonparametric conditional density analysis by A. S. Tay and C. Ting 253
Macroeconomic surprises and short-term behaviour in bond futures by D. Veredas 269
Dynamic modelling of large-dimensional covariance matrices by V. Voev
