Potential Applications of Function Data Analysis in High-frequency Financial Research
نویسندگان
چکیده
منابع مشابه
High frequency data in financial markets: Issues and applications
The development of high frequency data bases allows for empirical investigations of a wide range of issues in the financial markets. In this paper, we set out some of the many important issues connected with the use, analysis, and application of high-frequency data sets. These include the effects of market structure on the availability and interpretation of the data, methodological issues such ...
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15 صفحه اولFinancial econometric analysis at ultra-high frequency: Data handling concerns
Data collection at ultra high-frequency on financial markets requires the manipulation of complex databases, and possibly the correction of errors present in the data. The New York Stock Exchange is chosen to provide evidence of problems affecting ultra high-frequency data sets. Standard filters can be applied to remove bad records from the trades and quotes data.A method for outlier detection ...
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ژورنال
عنوان ژورنال: Journal of Business & Financial Affairs
سال: 2013
ISSN: 2167-0234
DOI: 10.4172/2167-0234.1000e125