By Owain ap Gwilym, Charles Sutcliffe
Read or Download High-frequency Financial Market Data (Risk Technology Reports) PDF
Similar organization and data processing books
This e-book constitutes the completely refereed post-workshop complaints of the tenth foreign Workshop on Languages and Compilers for Parallel Computing, LCPC'97, held in Minneapolis, Minnesota, united states in August 1997The ebook offers 28 revised complete papers including 4 posters; all papers have been rigorously chosen for presentation on the workshop and went via an intensive reviewing and revision part afterwards.
Als Internetdienst erlaubt Cloud Computing die Bereitstellung und Nutzung von IT-Infrastruktur, Plattformen und Anwendungen. Dabei wird stets die aktuell benötigte Menge an Ressourcen zur Verfügung gestellt und abgerechnet. In dem Buch vermitteln die Autoren einen Überblick über Cloud-Computing-Architektur, ihre Anwendungen und Entwicklung.
Info administration platforms play the main the most important function in construction huge software s- tems. because sleek functions aren't any longer unmarried monolithic software program blocks yet hugely versatile and configurable collections of cooperative providers, the knowledge mana- ment layer additionally has to evolve to those new necessities.
- Concrete and Masonry Databook (Databook S)
- XML-Based Integration with XAware: Unifying Appplications and Data in Today's e-business World
- Computing and Combinatorics: 12th Annual International Conference, COCOON 2006, Taipei, Taiwan, August 15-18, 2006. Proceedings
- Analyzing Environmental Data
- Data Mining Theory, Methodology, Techniques, and Applications
- MCITP Self-Paced Training Kit (Exam 70-442): Designing and Optimizing Data Access by Using Microsoft® SQL Server™ 2005: Designing and Optimizing Data ... Server 2005 (Microsoft Press Training Kit)
Extra resources for High-frequency Financial Market Data (Risk Technology Reports)
They found for their sample that shorter time gaps were associated with both faster and larger quote changes. Hausman et al (1992) made allowance for clock-time effects in order to examine whether trade-to-trade prices are stable in transaction time versus clock time. Engle and Russell (1997) proposed a new way of modelling the time gaps between irregularly spaced events such as trades or quote revisions, termed the Autoregressive Conditional Duration (ACD) model. Engle and Russell (1998) found evidence of duration clustering for trades in IBM shares during 1990-91, ie short time gaps between trades tend to cluster together.
Heteroscedasticity and Time Deformation If short-interval returns are independently and identically distributed, there is a simple relationship between the differencing interval and return variance. The variance of returns over long periods (comprising T short periods) is equal to T times the variance over a single short period. However, when using high-frequency data, returns are unlikely to be independently and identically distributed, therefore this relationship will not hold. For example, MÃ¼ller et al (1995) showed that the volatility of foreign exchange returns does not increase in the predicted manner as the differencing interval is lengthened, and concluded that forex data are not self-similar fractals, ie the distribution of exchange rates is not invariant to changes in the differencing interval.
However, the full set of trade or quote data provides a larger dataset than one that has been compressed by discarding intervening observations. Trade data represents the most fundamental level of data on the trading process. However, researchers may seek data on additional variables related to the trading process, eg the internal aggregation of orders into one large trade, the internal crossing of trades, the process of deciding when to trade (the trading strategy), the portfolio positions of traders at the time they decide to trade, the motives for trading, etc.