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High frequency data in financial markets: Issues and applications
Open accessAbstract
The development of high frequency data bases allows for empirical investigations of a wide range of issues in the financial markets. In this paper, we set out some of the many important issues connected with the use, analysis, and application of high-frequency data sets. These include the effects of market structure on the availability and interpretation of the data, methodological issues such as the treatment of time, the effects of intra-day seasonals, and the effects of time-varying volatility, and the information content of various market data. We also address using high frequency data to determine the linkages between markets and to determine the applicability of temporal trading rules. The paper concludes with a discussion of the issues for future research.
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Cites
Simple technical trading rules and the stochastic properties of stock returns
BROCK, W., LAKONISHOK, J., & LeBARON, B. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04681.x · Cited by 2,301
Correlations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
Technical trading rule profitability and foreign exchange intervention
LeBaron, B. (1999) · Journal of International Economics · doi:10.1016/s0022-1996(98)00061-0 · Cited by 390
Cited by
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
Andersen, T. G., & Bollerslev, T. (1998) · International Economic Review · doi:10.2307/2527343 · Cited by 3,375
Corporate Yield Spreads and Bond Liquidity
CHEN, L., LESMOND, D. A., & WEI, J. (2007) · The Journal of Finance · doi:10.1111/j.1540-6261.2007.01203.x · Cited by 1,078
Asset Pricing Under Endogenous Expectations in an Artificial Stock Market
Arthur, W. B., Holland, J. H., LeBaron, B. D., Palmer, R. G., & Tayler, P. (1997) · SSRN Electronic Journal · doi:10.2139/ssrn.2252 · Cited by 817
Asset Pricing Under Endogenous Expectations in an Artificial Stock Market
Arthur, W. B. (2018) · The Economy as an Evolving Complex System II · doi:10.1201/9780429496639-2 · Cited by 277
The application of continuous-time random walks in finance and economics
Scalas, E. (2006) · Physica A: Statistical Mechanics and its Applications · doi:10.1016/j.physa.2005.11.024 · Cited by 269
Metadata
- Authors
- Goodhart, C. A. E., & O'Hara, M.
- Venue
- Journal of Empirical Finance
- Publisher
- Elsevier BV
- Published
- 1997-06
- Volume
- 4
- Issue
- 2-3
- Pages
- 73-114
- ISSN
- 0927-5398 (ISSN-L)
- OpenAlex
- W1997050895
- Cited by
- 410
- References
- 3
- FWCI
- 27.45
- Type
- journal article
- Language
- en
- Open access
- hybrid
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- Goodhart, C. A. E., & O'Hara, M. (1997). High frequency data in financial markets: Issues and applications. Journal of Empirical Finance. https://doi.org/10.1016/s0927-5398(97)00003-0
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
