Financial econometric analysis at ultra-high frequency: Data handling concerns

@article{Brownlees2006FinancialEA,
  title={Financial econometric analysis at ultra-high frequency: Data handling concerns},
  author={C. T. Brownlees and G. M. Gallo},
  journal={Computational Statistics & Data Analysis},
  year={2006},
  volume={51},
  pages={2232-2245}
}
Data collection at ultra high-frequency on financial markets requires the manipulation of complex databases, and possibly the correction of errors present in the data. The New York Stock Exchange is chosen to provide evidence of problems affecting ultra high-frequency data sets. Standard filters can be applied to remove bad records from the trades and quotes data. A method for outlier detection is proposed to remove data which do not correspond to plausible market activity. Several methods of… CONTINUE READING

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