Analysis of High Frequency Financial DataModels教材.pdfVIP

Analysis of High Frequency Financial Data: Models, Methods and Software. Part I: Descriptive Analysis of High Frequency Financial Data with S-PLUS. Eric Zivot∗ July 4, 2005. 1 Introduction High-frequency financial data are observations on financial variables taken daily or at a finer time scale, and are often irregularly spaced over time. Advances in computer technology and data recording and storage have made these data sets increasingly accessible to researchers and have driven the data frequency to the ultimate limit for some financial markets: time stamped transaction-by-transaction or tick-by-tick data, referred to as ultra-high-frequency data by Engle (2000). For equity markets, the Trades and Quotes (TAQ) database of the New York Stock Exchange (NYSE) contains all recorded trades and quotes on NYSE, AMEX, NASDAQ, and the regional exchanges from 1992 to present. The Berkeley Options Data Base recorded similar data for options markets from 1976 to 1996. In foreign exchange markets, Olsen Associates in Switzerland maintains a data base of indicative FX spot quotes for many major currency pairs published over the Reuters’ network since the mid 1980’s. These high-frequency financial data sets have been widely used to study various market microstructure related issues, including price discovery, competition among related markets, strategic behavior of market participants, and modeling of real- time market dynamics. Moreover, high-frequency data are also useful for studying the statistical properties, volatility in particular, of asset returns at lower frequen- cies. Excellent surveys on the use of high-frequency financial data sets in financial econometrics are provided by Andersen (2000), Campbell, Lo and MacKi