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A method to ‘‘clean up’’ ultra high-frequency data

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A method to ‘‘clean up’’ ultra high-frequency data
Article
journal STATISTICA & APPLICAZIONI
issue STATISTICA & APPLICAZIONI - 2007 - 2
title A method to ‘‘clean up’’ ultra high-frequency data
authors
publisher Vita e Pensiero
format Article | Pdf
online since 2007
issn 18246672 (print)
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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 (ACD) model.

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