Message-ID: <8743084.1075858472783.JavaMail.evans@thyme> Date: Thu, 3 May 2001 18:34:00 -0700 (PDT) From: vince.kaminski@enron.com To: vkaminski@aol.com Subject: high frequency market data analysis Mime-Version: 1.0 Content-Type: text/plain; charset=ANSI_X3.4-1968 Content-Transfer-Encoding: quoted-printable X-From: Vince J Kaminski X-To: vkaminski <vkaminski@aol.com> X-cc: X-bcc: X-Folder: \Vince_Kaminski_Jun2001_10\Sent Items X-Origin: Kaminski-V X-FileName: vkamins.pst ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 05/03/2001 = 03:34 PM --------------------------- Zimin Lu 05/03/2001 03:31 PM To:=09Stinson Gibner/HOU/ECT@ECT, Bob Lee/NA/Enron@Enron cc:=09Vince J Kaminski/HOU/ECT@ECT=20 Subject:=09high frequency market data analysis Stinson, We are going to update you and Vince the progress of the EOL George project= . Friday, 9:30AM - 10:00AM in EB 1938. Bob, We may get some other ideas from the following book, take a look to see if = it is worth to buy one. --------------------------------------- http://www.riskpublications.com/books/index.html Risk Executive Reports =09 =09 =09 =09 =09High-Frequency Financial Market Data Sources, Applications and Marke= t Microstructure By Dr Owain ap Gwilym and Professor Charles Sutcliffe, Sch= ool of Management, University of Southampton, UK A high-quality, non-techni= cal resource on an increasingly invaluable topic for all users of high-freq= uency data. 10 sections cover the many aspects of high-frequency data by co= vering a broad set of information ranging from data suppliers to detailed r= esearch angles Topics covered include: managing HFD; arbitrage opportuniti= es; intra-day seasonalities; regulation; market efficiency and market makin= g. Format Price Report ?175/US$280 A4, 162pp Published: August 1999 Re= view | Table of Contents | Order Now in ? | Order Now in $ For othe= r titles of interest please click here: Risk Executive Reports Send this = page to a colleagueHigh-Frequency Financial Market DataCONTENTS1. Introduct= ion and overview Overview and background The motivation and demand for high= -frequency data The uses of high-frequency data Structure of this report2. = Sources and Types of High-Frequency Data Types of data Data supplied by exc= hanges Panel 2.1 (by Paul MacGregor, Liffe) - The sourcing and preparation = of Liffe tick data Specialist data providers Real-time data providers Summa= ry3. Managing and Exploiting High-Frequency Data Panel 3.1 - Illustrative h= igh-frequency data Data storage, filtering and cleaning The treatment of ti= me Panel 3.2 - Olsen filtering system Constructing continuous series Key co= nsiderations in manipulating high-frequency data Modelling issues Summary o= f chapter4. Arbitrage Opportunities in Equity Markets What is arbitrage? Em= pirical studies of arbitrage opportunities Arbitrage in equity markets Indi= vidual arbitrage trades5. Intra-Day Seasonalities Intra-day patterns in ret= urns Intra-day patterns in volume Intra-day patterns in volatility Intra-da= y patterns in the bid-ask spread Intra-day patterns in the autocorrelation = of returns Intra-day patterns in hedge ratios Other intra-day patterns Effe= cts of news announcements on intra-day patterns The turn-of-the-year effect= and high-frequency data Conclusions6. Links Between Markets Leads and lags= in prices between different types of market based on the same asset The 19= 87 stock market crash Leads and lags in price volatility Links between geog= raphically separated markets Rival markets7. Destabilisation of Markets Rel= ative volatility Programme trading and volatility Price movements at expira= tion Conclusions8. Regulations Governing the Markets Regulation of dual cap= acity Circuit breakers Restrictions on short selling Taxes on transactions = Tick size and price clustering Delayed publication of trades Conclusions9. = Market Efficiency Weak-form efficiency Semi-strong-form efficiency Conclusi= ons10. Market MakingRevision of prices Other aspects of financial markets D= eterminants of the bid-ask spread Block trades Conclusions11. Conclusion an= d Future Developments References =09 =09 =09 =09