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

Abstract

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… (More)
DOI: 10.1016/j.csda.2006.09.030

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Cite this paper

@article{Brownlees2006FinancialEA, title={Financial econometric analysis at ultra-high frequency: Data handling concerns}, author={C. T. Brownlees and Giuseppe Gallo}, journal={Computational Statistics & Data Analysis}, year={2006}, volume={51}, pages={2232-2245} }