𝔖 Bobbio Scriptorium
✦   LIBER   ✦

High frequency data in finance

Book ID
117628292
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
214 KB
Volume
4
Category
Article
ISSN
0927-5398

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πŸ“œ SIMILAR VOLUMES

An Introduction to High-Frequency Financ
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✍ Dacorogna πŸ“‚ Library πŸ“… 2001 🌐 English βš– 5 MB

Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental

Random aggregation with applications in
Random aggregation with applications in high-frequency finance
✍ Ruey S. Tsay; Jin-Huei Yeh πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 406 KB

## Abstract In this paper we consider properties of random aggregation in time series analysis. For application, we focus on the problem of estimating the high‐frequency beta of an asset return when the returns are subject to the effects of market microstructure. Specifically, we study the correlat