text_combined: high frequency market data analysis stinson going update vince progress eol george project friday 9 30 10 00 eb 1938 bob may get ideas following book take look see worth buy one risk executive reports high frequency financial market data sources applications market microstructure dr owain ap gwilym professor charles sutcliffe school management university southampton uk high quality non technical resource increasingly invaluable topic users high frequency data 10 sections cover many aspects high frequency data covering broad set information ranging data suppliers detailed research angles topics covered include managing hfd arbitrage opportunities intra day seasonalities regulation market efficiency market making format price report 175 us 280 4 162 pp published august 1999 review table contents order order titles interest please click risk executive reports send page colleaguehigh frequency financial market datacontentsl introduction overview overview background motivation demand high frequency data uses high frequency data structure report 2 sources types high frequency data types data data supplied exchanges panel 2 1 paul macgregor liffe sourcing preparation liffe tick data specialist data providers real time data providers summary 3 managing exploiting high frequency data panel 3 1 illustrative high frequency data data storage filtering cleaning treatment time panel 3 2 olsen filtering system constructing continuous series key considerations manipulating high frequency data modelling issues summary chapter 4 arbitrage opportunities equity markets arbitrage empirical studies arbitrage opportunities arbitrage equity markets individual arbitrage trades 5 intra day seasonalities intra day patterns returns intra day patterns volume intra day patterns volatility intra day patterns bid ask spread intra day patterns autocorrelation returns intra day patterns hedge ratios intra day patterns effects news announcements intra day patterns turn year effect high frequency data conclusions 6 links markets leads lags prices different types market based asset 1987 stock market crash leads lags price volatility links geographically separated markets rival markets 7 destabilisation markets relative volatility programme trading volatility price movements expiration conclusions 8 regulations governing markets regulation dual capacity circuit breakers restrictions short selling taxes transactions tick size price clustering delayed publication trades conclusions 9 market efficiency weak form efficiency semi strong form efficiency conclusionsl 0 market makingrevision prices aspects financial markets determinants bid ask spread block trades conclusionsl 1 conclusion future developments references