Universita' di Firenze, Dipartimento di Statistica G. Parenti Working Paper No. 2006-3
30 Pages Posted: 3 Mar 2006
Date Written: February 2006
The financial econometrics literature on Ultra High-Frequency Data (UHFD)has been growing steadily in recent years. However, it is not always straightforward to construct time series of interest from the raw data and the consequences of data handling procedures on the subsequent statistical analysis are not fully understood. Some results could be sample or asset specific and in this paper we address some of these issues focussing on the data produced by the New York Stock Exchange, summarizing the structure of their TAQ ultra high-frequency dataset. We review and present a number of methods for the handling of UHFD, and explain the rationale and implications of using such algorithms. We then propose procedures to construct the time series of interest from the raw data. Finally, we examine the impact of data handling on statistical modeling within the context of financial durations ACD models.
Suggested Citation: Suggested Citation
Brownlees, Christian T. and Gallo, Giampiero M., Financial Econometric Analysis at Ultra-High Frequency: Data Handling Concerns (February 2006). Universita' di Firenze, Dipartimento di Statistica G. Parenti Working Paper No. 2006-3. Available at SSRN: https://ssrn.com/abstract=886204 or http://dx.doi.org/10.2139/ssrn.886204
By Andrew Lo