Search results for " tick-by-tick data"

High frequency data entry: statistical findings at high frequency

2010

We introduce some of the most common types of high-frequency financial data: tick-by-tick data, trade andquote data, order bookdata, andmarket member data. We describe the types of variables that are usually available in the most popular high-frequency financial databases. We discuss the issues related to the handling of these data, including cleaning protocols, timing issues, and issues related to data size. We then briefly consider the issues related to the stylized facts detected in the empirical analysis of high- frequency data. Specifically, we consider (i) the irregular temporal spacing of the events at high frequency and its relevance for the econometric modeling of financial variables, (…