High-Frequency Data

Harry Georgakopoulos

Chapter 8 in Quantitative Trading with R, 2015, pp 177-197 from Palgrave Macmillan

Abstract: 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 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-43747-1_8

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DOI: 10.1057/9781137437471_8

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