an introduction to high-frequency strongfinancestrong.pdf

AN INTRODUCTION TO HIGH-FREQUENCY FINANCE AN INTRODUCTION TO HIGH-FREQUENCY FINANCE Michel M. Dacorogna Zurich Re, Switzerland Ramazan Genc¸ay University of Windsor, Canada Olsen Associates, Switzerland ¨ Ulrich A. Muller Olsen Associates, Switzerland Richard B. Olsen Olsen Associates, Switzerland Olivier V. Pictet Dynamic Asset Management, Switzerland San Diego San Francisco New York Boston London Sydney Tokyo c Cover images 2001 PhotoDisc, Inc. This book is printed on acid-free paper. c Copyright 2001 by ACADEMIC PRESS All Rights Reserved. No part of this publication may be reproduced or transmitted in any form or by anymeans, electronic or mechanical, including photocopy, recording, or any information storage and retrieval system, without permission in writing from the publisher. Requests for permission to make copies of any part of the work should be mailed to: Permissions Department, Harcourt Inc., 6277 Sea Harbor Drive, Orlando, Florida 32887-6777 Academic Press A Harcourt Science and Technology Company 525 B Street, Suite 1900, San Diego, California 92101-4495, USA Academic Press Harcourt Place, 32 Jamestown Road, London NW1 7BY, UK Library of Congress Catalog Card Number: 2001088178 International Standard Book Number: 0-12-279671-3 PRINTED IN THE UNITED STATES OF AMERICA 01 02 03 04 05 06 EB 9 8 7 6 5 4 3 2 1 To our parents and families CONTENTS