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

Name: A method to ‘‘clean up’’ ultra high-frequency data
Brand: Vita e Pensiero
Availability: OnlineOnly

digital

Article

Magazine

STATISTICA & APPLICAZIONI

Section

Open Access

Title

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

Authors

Angelo M. Mineo, Fiorella Romito

Publisher

Vita e Pensiero

Format

Article |

Pdf

Pages

Online from

02-2007

Issn

1824-6672 (print) | 2283-6659 (digital)

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Description Readers' comments

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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