October 2011
Beginner
576 pages
16h 32m
English
Content preview from Equity Valuation and Portfolio ManagementBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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CHAPTER 20
Working with High-Frequency Data
Irene Aldridge
Managing PartnerABLE Alpha Trading
This chapter examines issues surrounding equity portfolio management in high-frequency trading (HFT). The chapter shows that HFT strategies by their nature use a different population of data and the traditional methods of data analyses need to be adjusted accordingly. In particular, the chapter considers the idiosyncrasies and opportunities that high-frequency data bring, and how the data compare with the low-frequency data, wherever appropriate. The chapter also parses through the topics of volume, bid-ask-bounce and time-spacing inherent in the high-frequency data, as well as the decay of correlations between securities observed at high-frequencies.
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