2015 | OriginalPaper | Buchkapitel
High-Frequency Data
verfasst von : Harry Georgakopoulos
Erschienen in: Quantitative Trading with R
Verlag: Palgrave Macmillan US
Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.
Wählen Sie Textabschnitte aus um mit Künstlicher Intelligenz passenden Patente zu finden. powered by
Markieren Sie Textabschnitte, um KI-gestützt weitere passende Inhalte zu finden. powered by
Up to this point, we have only focused on daily equity data for our analysis. This low-granularity data comes with the nice property of being homogeneously spaced out in time. Homogeneity in time is a property that makes the mathematics of time series analysis much easier to handle. Tick data, on the other hand, is inherently nonhomogenous in time. Events such as book updates, trade updates, exchange messages and high-frequency news feeds, tend to arrive at arbitrary times.