An introduction to high frquencu finance

By M.M. Dacorogna,R.Gincay, U.Muller and R.B.Olsen,2001

Content

1.Introduction

2.Markets and data

3.time series and interest

4.Adaptive data cleaning

5.Basic stylelize facts

6.modeling seasenal volatility

7.Realized volatility dynamic

8.Volatility process

9.Forecasting risk and return

10.Correlation and multivariate risk

11.Trading model

12.Toward theory fo heterogeneous markets