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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  • EP ID EP113919
  • DOI -
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How To Cite

Roman Huptas (2009). Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification. Dynamic Econometric Models, 9(1), 129-138. https://europub.co.uk/articles/-A-113919