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High-Frequency Data

  • Harry Georgakopoulos
Chapter
  • 826 Downloads

Abstract

Up to this point, we have only focused on daily equity data for our analysis. This low-granularity data comes with the nice property of being homogeneously spaced out in time. Homogeneity in time is a property that makes the mathematics of time series analysis much easier to handle. Tick data, on the other hand, is inherently nonhomogenous in time. Events such as book updates, trade updates, exchange messages and high-frequency news feeds, tend to arrive at arbitrary times.

Keywords

Market Maker Theoretical Price Short Sales Restriction Tick Data Time Series Object 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Folk Creations, Inc. 2015

Authors and Affiliations

  • Harry Georgakopoulos

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