October 2011
Beginner
576 pages
16h 32m
English
Content preview from Equity Valuation and Portfolio Management
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PROPERTIES OF HIGH-FREQUENCY DATA
High-frequency securities data have been studied for many years. Yet it is still something of a novelty to many academics and practitioners. Unlike daily or monthly data sets commonly used in much of financial research and related applications, high-frequency data has distinct properties, which simultaneously can be advantageous and intimidating to researchers. Exhibit 20.2 summarizes the properties of high-frequency data. Each property, its advantages and disadvantages are discussed in detail later in the article.
EXHIBIT 20.1 Level I High-Frequency Data Recorded by NYSE Arca for SPDR S&P 500 ETF (ticker SPY) from 14:00:16:400 to 14:02:00:000 GMT on November 9, 2009
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