Opis

• Tytuł:
  Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification
• Twórca:
  Huptas, Roman
• Opis:
  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.
• Dostępność obiektu:
  Dostęp otwarty
• Data:
  2009.07.18
• Typ:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Język:
  angielski
• Źródło:
  Dynamic Econometric Models; Vol. 9 (2009); 129-138;
  Dynamic Econometric Models; Tom 9 (2009); 129-138;
  2450-7067;
  1234-3862
• Format:
  application/pdf
• Wydawca:
  Nicolaus Copernicus University
• Relacja: https://apcz.umk.pl/DEM/article/view/DEM.2009.013/4046
• Temat i słowa kluczowe:
  financial UHF data;
  intraday seasonality;
  diurnal pattern;
  cubic splines;
  kernel estimation
• Identyfikator: https://apcz.umk.pl/DEM/article/view/DEM.2009.013
• Dostawca danych:
  Akademicka Platforma Czasopism
• Czy mogę z tego obiektu skorzystać?:
  poproś o pozwolenie
• Rodzaj zawartości:
  teksty