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, (ii) the discreteness of the financial variables under investigation, (iii) the problems related to proper definition of financial variables, (iv) their daily periodicity, that is, typical intraday patterns, (v) their temporal correlations, for example, the bid–ask bounce and long memory properties, and (vi) problems related to the specificity of the market structure and rules.
Lillo, F., Micciché, S. (2010). High frequency data entry: statistical findings at high frequency. In R. Cont (a cura di), Encyclopedia of Quantitative Finance. Hoboken, N.J. : Wiley.
High frequency data entry: statistical findings at high frequency
LILLO, Fabrizio;MICCICHE', Salvatore
2010-01-01
Abstract
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, (ii) the discreteness of the financial variables under investigation, (iii) the problems related to proper definition of financial variables, (iv) their daily periodicity, that is, typical intraday patterns, (v) their temporal correlations, for example, the bid–ask bounce and long memory properties, and (vi) problems related to the specificity of the market structure and rules.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.