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Financial econometric analysis at ultra-high frequency

上传者: 2019-05-27 13:14:03上传 PDF文件 1.2MB 热度 27次
Datacollectionatultrahigh-frequencyonfinancialmarketsrequiresthemanipulationofcomplexdatabases,andpossiblythecorrectionoferrorspresentinthedata.TheNewYorkStockExchangeischosentoprovideevidenceofproblemsaffectingultrahigh-frequencydatasets.Standardfilterscanbeappliedtoremovebadrecords
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