Search results for "Frequency data"
showing 3 items of 13 documents
A new method to "clean up" ultra high-frequency data
2007
In the applied econometrics, the availability of ultra high-frequency databases is having an important impact on the research market microstructure theory. The ultra high-frequency databases contain detailed reports of all the financial market activity information which is available. However, ultra high-frequency databases cannot be directly used. On one hand recording mistakes can be present, on the other hand missing information has to be inferred from the available data. In this paper, we propose a simple method in order to clean up the ultra high-frequency data from possible errors and we examine the method efficacy when we analyze data by using an autoregressive conditional duration (A…
High Frequency Data Acquisition System for Modelling the Impact of Visitors on the Thermo-Hygrometric Conditions of Archaeological Sites: A Casa di D…
2018
[EN] The characterization of the microclimatic conditions is fundamental for the preventive conservation of archaeological sites. In this context, the identification of the factors that influence the thermo-hygrometric equilibrium is key to determine the causes of cultural heritage deterioration. In this work, a characterization of the thermo-hygrometric conditions of Casa di Diana (Ostia Antica, Italy) is carried out analyzing the data of temperature and relative humidity recorded by a system of sensors with high monitoring frequency. Sensors are installed in parallel, calibrated and synchronized with a microcontroller. A data set of 793,620 data, arranged in a matrix with 66,135 rows and …
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, (…