Florescu I. et al. (eds.) Handbook of High-Frequency Trading and Modeling in Finance

Wiley, 2016. — 455 p. — ISBN: 9781118593400Edited by Florescu I., Mariani M.C., Stanley H.E., Viens F.G.This Handbook is a collection of chapters that describe a range of current empirical and analytical work on financial industry data sampled at high frequency (HF).
Our contemporary Age of Information is a world dominated by everincreasing quantitative elements that decision makers are expected to take into account. Many fields are confronted with large amounts of data. The phenomenon is particularly challenging in the finance industry, in that evidently relevant data can be sampled with increasingly HF, a trend that started in earnest more than a decade ago and does not seem to be letting down. Some of the special challenges posed by these now staggering amounts of data stem from the uncomfortable evidence that traditional models and information technology tools can be poorly suited to grapple with their size and complexity.