Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification

Roman Huptas ()
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Roman Huptas: Cracow University of Economics

Dynamic Econometric Models, 2009, vol. 9, 128-138

Abstract: The aim of this paper is to outline the typical characteristics of the ultra-high-frequency financial data and to present estimation methods of intraday seasonality of trading activity. Ultra-high-frequency financial data (transactions data or tick-by-tick data) is defined to be a full record of transactions and their associated characteristics. We consider two nonparametric estimation methods: cubic splines and a Nadaraya-Watson kernel estimator of regression. Both approaches are compared empirically and applied to financial data of stocks traded at the Warsaw Stock Exchange.

Keywords: financial UHF data; intraday seasonality; diurnal pattern; cubic splines; kernel estimation. (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:9:y:2009:p:128-138

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