A new method to "clean up" ultra high-frequency data

Angelo Mineo, Fiorella Romito

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

In the applied econometrics, the availability of ultra high-frequency databases is having an important impact on the research market microstructure theory. The ultra high-frequency databases contain detailed reports of all the financial market activity information whichis available. However, ultra high-frequency databases cannot be directly used. On one hand recording mistakes can be present, on theother hand missing information has to be inferred from the available data. In this paper, we propose a simple method in order to cleanup the ultra high-frequency data from possible errors and we examine the method efficacy when we analyze data by using an autoregressiveconditional duration (ACD) model.
Original languageEnglish
Pages (from-to)165-184
Number of pages20
JournalSTATISTICA & APPLICAZIONI
Volume5
Publication statusPublished - 2007

All Science Journal Classification (ASJC) codes

  • Statistical and Nonlinear Physics
  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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