Financial econometric analysis at ultra-high frequency
Datacollectionatultrahigh-frequencyonfinancialmarketsrequiresthemanipulationofcomplexdatabases,andpossiblythecorrectionoferrorspresentinthedata.TheNewYorkStockExchangeischosentoprovideevidenceofproblemsaffectingultrahigh-frequencydatasets.Standardfilterscanbeappliedtoremovebadrecords
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