Since 2014
Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification
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| Creator |
Huptas, Roman; Cracow University of Economics
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| Subject |
financial UHF data, intraday seasonality, diurnal pattern, cubic splines, kernel estimation
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| Description |
The aim of this paper is to outline the typical characteristics of the ultra-highfrequency 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.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
—
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| Date |
2009-07-18
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2009.013
10.12775/DEM.2009.013 |
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| Source |
Dynamic Econometric Models; Vol 9 (2009); 129-138
Dynamic Econometric Models; Vol 9 (2009); 129-138 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2009.013/4046
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