by
Michel Dacorogna, Ulrich A. Muller, Olivier Pictet
Language: English
Release Date: May 29, 2001
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...