Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification
DOI:
https://doi.org/10.12775/DEM.2009.013Keywords
financial UHF data, intraday seasonality, diurnal pattern, cubic splines, kernel estimationAbstract
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.
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