Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification
Journal Title: Dynamic Econometric Models - Year 2009, Vol 9, Issue 1
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.
Authors and Affiliations
Roman Huptas
Keywords
Related Articles
- EP ID EP113919
- DOI -
- Views 116
- Downloads 0
The Importance of Calculating the Potential Gross Domestic Product in the Context of the Taylor Rule
Taylor stated humorously that his rule was so easy that it could be written down on the back of a business card. The reality shows that the practical use of this type of rule implies accepting many assumptions about its...
Detection of Collusion Equilibrium in an Industry with Application of Wavelet Analysis
In the present paper an attempt was made to verify the possibilities of the use of a marker of structural changes of market price variance in the detection of trade collusion between business players. We used the theoret...
Distribution Choice for the Asymmetric ACD Models
In the paper, I generalize the Asymmetric Autoregressive Conditional Duration (AACD) model proposed by Bauwens and Giot (2003) with respect to the generalized gamma and the Burr distribution for an error term. I derive...
Determinants of Corporate Performance: Modelling Approach
This study is to investigate the influence of the selected factors of the capital structure on the corporate performance. An empirical analysis covers a sample of 90 non-financial companies traded on the Warsaw Stock Exc...
The Synchronization of Regional Business Cycles with Nationwide Cycles
This paper attempts to assess the level of synchronization between the business cycles of Poland’s regions and those of the country as a whole. The measure of economic activity was an index of total industrial output sol...