high 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
stinson.gibner@enron.com, bob.lee@enron.com