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.
High Frequency Financial Econometrics Recent Developments Luc Bauwens . Winfried Pohlmeier David Veredas (Eds.) High Frequency Financial Econometrics Recent Developments With 57 Figures and 64 Tables Physica-Verlag A Springer Company Prof. Winfried Pohlmeier Department of Economics University of Konstanz 78457 Konstanz Germany
[email protected] Prof. Luc Bauwens CORE Voie du Roman Pays 1348 Louvain-la-Neuve Belgium
[email protected] Prof. David Veredas ECARES Universite´ Libre des Bruxelles 30, Avenue Roosevelt 1050 Brussels Belgium
[email protected] Parts of the papers have been first published in “ “Empirical Economics, Vol. 30, No. 4, 2006 Library of Congress Control Number: 2007933836 ISBN 978-3-7908-1991-5 Physica-Verlag Heidelberg New York This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Physica-Verlag. Violations are liable for prosecution under the GermanCopyright Law. Physica-Verlag is a part of SpringerScience+Business Media springer.com © Physica-Verlag Heidelberg 2008 The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting by the author and SPi using a Springer LATEX macro package Cover-design: WMX design GmbH, Heidelberg Printed on acid-free paper SPIN : 12107759 88/SPi 543210 Contents Editor’s introduction: recent developments in high frequency financial econometrics . . . . . . . . . . . . . . . . . . . . . . . . . . . L. Bauwens, W. Pohlmeier and D. Ve