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High-Frequency Data

In: Quantitative Trading with R

Author

Listed:
  • Harry Georgakopoulos

Abstract

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.

Suggested Citation

  • Harry Georgakopoulos, 2015. "High-Frequency Data," Palgrave Macmillan Books, in: Quantitative Trading with R, chapter 8, pages 177-197, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-43747-1_8
    DOI: 10.1057/9781137437471_8
    as

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