First issue of High Frequency published

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  • Author: Statistics Views
  • Date: 22 May 2018

The first issue of new Wiley journal High Frequency has been published and is available here for free.

Editors Ionut Florescu and Frederi Viens explain in their editorial, 'We are starting this journal off with a set of papers which mirror many of our initial thoughts on what the boundaries of the journal should be. When scholars ask us what we mean by “high frequency”, to find out if their work on HF problems would fit in our journal, we respond that this is a interdisciplinary quantitative data science journal about HF. We explain that this simply means that papers should discuss quantitative data in theory or in practice, that the implicit or explicit applications can be in absolutely any discipline, that the questions discussed in the paper should deal with data which comes dynamically in time at a rate which is significantly faster than what researchers in that/those discipline(s) have typically been dealing with, and that the paper's answers should take that unusually high rate into account.'

thumbnail image: First issue of High Frequency published

The selected papers to appear in the first issue are:

Describing the dynamic nature of transactions costs during political event risk episodes

Bluford Putnam, Graham McDannel, Mohandas Ayikara and Lakshmi Sameera Peyyalamitta

Liquidity and realized volatility in short‐term interest rate futures in 2008 crisis

Barry A. Goss and S. Gulay Avsar

A high‐frequency trade execution model for supervised learning

Matthew Dixon

A new analysis of VIX using mixture of regressions: Examination and short‐term forecasting for the S & P 500 market

Tatjana Miljkovic and Indranil SenGupta

The Editors welcome new submissions which can be sent via the journal's Scholar One site and the Editors have this message for those interested in submitting: 'As scholars of HF data science, we all know that the models and methods we use are often at the cutting edge of our own fields. Most traditional and well‐established disciplinary journals have not yet caught up with these new research directions. The journal High Frequency give us new options, as a welcoming place for peer‐reviewing and publishing our HF work.'

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