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 99
- Downloads 0
Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange
The purpose of this study is to explore the day-of-the-week patterns in liquidity on the Warsaw Stock Exchange (WSE) using daily turnover as a liquidity measure. The existence of an inverted U-shape in the stock turnover...
Unobserved Component Model for Forecasting Polish Inflation
This paper aims to use the local level models with GARCH and SV errors to predict Polish inflation. The series to be forecast, measured monthly, is consumer price index (CPI) in Poland during 1992-2008. We selected three...
Quantile Forecasting in Operational Planning and Inventory Management – an Initial Empirical Verification
In the paper we present our initial results of an empirical verification of different methodologies of quantile forecasting used in operational management to calculate the re-order point or order-up-to level as well as t...
Choosing a Model and Strategy of Model Selection by Accumulated Prediction Error
The purpose of the paper is to present and apply the accumulative one-step-ahead prediction error (APE) not only as a method (strategy) of model selection, but also as a tool of model selection strategy (meta-selection)....
Non-Classical Measures of Investment Risk on the Market of Precious Non-Ferrous Metals Using the Methodology of Stable Distributions
The aim of this article is to present some non-classical risk measures which are commonly used in financial investments, including investments in assets from the market of precious non-ferrous metals. The time series of...