Description

• Title:
  Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification
• Creator:
  Huptas, Roman
• 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.
• Object availability:
  free access
• Date:
  2009.07.18
• Type:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Language:
  English
• Source:
  Dynamic Econometric Models; Vol. 9 (2009); 129-138;
  Dynamic Econometric Models; Tom 9 (2009); 129-138;
  2450-7067;
  1234-3862
• Format:
  application/pdf
• Publisher:
  Nicolaus Copernicus University
• Relation: https://apcz.umk.pl/DEM/article/view/DEM.2009.013/4046
• Subject:
  financial UHF data;
  intraday seasonality;
  diurnal pattern;
  cubic splines;
  kernel estimation
• Identifier: https://apcz.umk.pl/DEM/article/view/DEM.2009.013
• Data provider:
  Akademicka Platforma Czasopism
• Can I use it?:
  seek permission
• Type:
  text