5. High-Frequency Data Analysis and Market Microstructure

  1. Ruey S. Tsay

Published Online: 2 AUG 2010

DOI: 10.1002/9780470644560.ch5

Analysis of Financial Time Series, Third Edition, Third Edition

Analysis of Financial Time Series, Third Edition, Third Edition

How to Cite

Tsay, R. S. (2010) High-Frequency Data Analysis and Market Microstructure, in Analysis of Financial Time Series, Third Edition, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470644560.ch5

Author Information

  1. The University of Chicago Booth School of Business, Chicago, IL, USA

Publication History

  1. Published Online: 2 AUG 2010
  2. Published Print: 13 AUG 2010

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470414354

Online ISBN: 9780470644560

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Keywords:

  • bid–ask spread;
  • bivariate models;
  • duration models;
  • high-frequency financial data;
  • market microstructure;
  • nonsynchronous trading;
  • price changes;
  • transactions data

Summary

High-frequency financial data are important in studying a variety of issues related to the trading process and market microstructure. Analysis of these data thus introduces new challenges to financial economists and statisticians. This chapter explains these special characteristics, considers methods for analyzing high-frequency data, and discusses implications of the results obtained. In particular, it discusses nonsynchronous trading, bid–ask spread, duration models, price movements, and bivariate models for price changes and time durations between transactions associated with price changes. The models discussed are also applicable to other scientific areas such as telecommunications and environmental studies. Transactions data have several important characteristics that do not exist when the observations are aggregated over time. The chapter gives some of the characteristics.

Controlled Vocabulary Terms

bivariate data; statistical data