TY  - BOOK
AU  - Aitr-Sahalia, Yacine 
AU  - Jacod, Jean
TI  - high-frequency financial econometrics
SN  - 9780691161433
PY  - 2014///
CY  - Princeton
PB  - Princeton University Press 
N2  - High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data.
ER  -