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

"Does it take volume to move fx rates?" Evidence from quantile regressions

This study investigates the impact of trading volume on selected quantiles of the EUR/PLN return distribution. Empirical results obtained with the quantile regression approach confirm that an increase in the turnover is...

ARCH Effect in Classical Market-Timing Models with Lagged Market Variable: the Case of Polish Market

The main goal of this study is to present the regressions of the GARCH versions of classical market-timing models of Polish equity funds. We examine the models with lagged values of the market factor as an additional var...

European Equity Market Integration and Optimal Investment Horizons – Evidence from Wavelet Analysis

In the paper the process of equity market integration in Europe is examined from the wavelet perspective. The method applied is the Continuous Discrete Wavelet Transform that enables to perform global and local wavelet v...

Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models

The purpose of this paper is to verify strong-form purchasing power parity (PPP) of EUR/PLN within a class of smooth transition vector error correction models (ESTVECM). Empirical importance of exponential smooth transit...

Application of Panel Data Models to Exchange Rates’ Modeling for Scandinavian and Central and Eastern European Countries

In the paper the purchasing power parity (PPP) theory for 6 states belonging to OECD, namely Denmark, Norway, Sweden, Poland, Czech Republic and Hungary, was examined. In order to do that the IPS panel unit root test was...

Download PDF file
  • EP ID EP113919
  • DOI -
  • Views 117
  • Downloads 0

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