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
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