Search results

Doug, I think the topics covered by Dacorogna, et al. w.r.t. high frequency financial data are covered more generally in the "Econophysics" category. For instance, look at "An Introduction to Econophysics: Correlations and Complexity in Finance". I haven't read this book but looking at the TOC...

Yes, I read the book a few years back and have referred back to it a few times. The book is about high-frequency FX econometrics. No other instruments are covered. A fair amount of the book discusses empirical findings that are unique to the spot FX markets. There are sections on tick...