Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification

Roman Huptas

DOI: http://dx.doi.org/10.12775/DEM.2009.013

Abstract


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.


Keywords


financial UHF data, intraday seasonality, diurnal pattern, cubic splines, kernel estimation

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ISSN (print) 1234-3862
ISSN (online) 2450-7067

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