The importance of High Frequency Data on the Financial Markets

Simona Adascalitei ()
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Simona Adascalitei: Romanian Academy Iasi Branch

No 2503637, Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences

Abstract: While the High Frequency Trading (HFT) activity is in decline and researchers have inconclusive results about its net (positive/negative) impact on the financial markets, massive quantities of High Frequency Data (HFD) become more and more accessible. The purpose of this paper is to highlight the importance of HFD on the Financial Markets. To support this statement, we will analyze some of the special characteristics of High Frequency Data (HFD) compared to the characteristics of Low Frequency Data (LFD). Then we will make a review of the papers that have proven that the use of HFD can improve the accuracy of volatility measures, volatility estimators, and volatility forecasts. Given this superiority of HFT over LFD, our aim is to encourage academics and practitioners to start focusing more on this type of data in order to have a better understanding of the highly dynamic financial markets.

Keywords: High Frequenc Trading; High Frequency Data; Financial Markets; Volatility (search for similar items in EconPapers)
JEL-codes: G10 G17 (search for similar items in EconPapers)
Pages: 1 page
Date: 2015-06
New Economics Papers: this item is included in nep-fmk and nep-mst
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Published in Proceedings of the Proceedings of the 16th International Academic Conference, Amsterdam, Jun 2015, pages 19-19

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Persistent link: https://EconPapers.repec.org/RePEc:sek:iacpro:2503637

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