{"title":"超高频财务数据分析中的日内季节性:模型及其实证验证","authors":"Roman Huptas","doi":"10.12775/DEM.2009.013","DOIUrl":null,"url":null,"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.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"9 1","pages":"129-138"},"PeriodicalIF":0.0000,"publicationDate":"2009-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"8","resultStr":"{\"title\":\"Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification\",\"authors\":\"Roman Huptas\",\"doi\":\"10.12775/DEM.2009.013\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":31914,\"journal\":{\"name\":\"Dynamic Econometric Models\",\"volume\":\"9 1\",\"pages\":\"129-138\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2009-07-18\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"8\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Dynamic Econometric Models\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.12775/DEM.2009.013\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Dynamic Econometric Models","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.12775/DEM.2009.013","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification
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.
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