An inter-market arbitrage trading system based on extended classifier systems
Keywords: داده های فرکانس بالا; Trading rule; High frequency data; Intra-day trading; Data stream; XCS
مقالات ISI داده های فرکانس بالا (ترجمه نشده)
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Dependence structure of the Korean stock market in high frequency data
Keywords: داده های فرکانس بالا; Financial correlation; Epps effect; Random matrix theory; Cook-Johnson copula; High frequency data;
Simultaneous monetary policy announcements and international stock markets response: An intraday analysis
Keywords: داده های فرکانس بالا; G14; G15; Conditional mean; Conditional volatility; Macroeconomic news; Monetary policy; High frequency data;
Estimating covariation: Epps effect, microstructure noise
Keywords: داده های فرکانس بالا; C01; C13; C14; C46; G11; Bias-variance tradeoff; Epps effect; High frequency data; Measurement error; Market microstructure; Martingale; Nonsynchronous trading; Realized covariance; Realized variance; Two scales estimation;
Ultra high frequency volatility estimation with dependent microstructure noise
Keywords: داده های فرکانس بالا; Market microstructure; Serial dependence; High frequency data; Realized volatility; Subsampling; Two scales realized volatility; Multiple scales realized volatility;
Subsampling high frequency data
Keywords: داده های فرکانس بالا; C12; C13; C14; Subsampling; Market microstructure noise; High frequency data; Realised volatility;
Modeling and forecasting trading volume index: GARCH versus TGARCH approach
Keywords: داده های فرکانس بالا; Trading volume; Volatility; GARCH; TGARCH; Leverage effect; High frequency data
Market structure and microstructure, in international interest rate futures markets
Keywords: داده های فرکانس بالا; High frequency data; Futures; Market microstructure; Asymmetric information; Order-driven
Regression models with mixed sampling frequencies
Keywords: داده های فرکانس بالا; C13; C32; C51; High frequency data; Temporal aggregation;
Forecasting Value-at-Risk using high frequency data: The realized range model
Keywords: داده های فرکانس بالا; C22; C52; C53; VaR; Realized range; High frequency data;
Price discovery in foreign exchange markets: A comparison of indicative and actual transaction prices
Keywords: داده های فرکانس بالا; F31; G15Exchange rates; Foreign Exchange market microstructure; High frequency data; Order flow; Indicative data
Estimation for stochastic differential equations with a small diffusion coefficient
Keywords: داده های فرکانس بالا; 62F12; 62M05Asymptotics; CIR model; Diffusion process with small noise; Discrete time observation; High frequency data; Minimum contrast estimation
Nonparametric estimation for pure jump Lévy processes based on high frequency data
Keywords: داده های فرکانس بالا; 62G05; 62M05; 60G51Adaptive nonparametric estimation; High frequency data; Lévy processes; Projection estimators
Modeling the leverage effect with copulas and realized volatility
Keywords: داده های فرکانس بالا; C14; C51; G10; G32; Leverage effect; Copulas; Tail dependence; Realized volatility; High frequency data;
Functional data analysis for cash flow and transactions intensity continuous-time prediction using Hilbert-valued autoregressive processes
Keywords: داده های فرکانس بالا; High frequency data; Functional AR model; Functional data analysis; Wavelet bases; Credit cards payment systems
High frequency intrinsic modes in El Niño/Southern Oscillation Index
Keywords: داده های فرکانس بالا; SOI; High frequency data; Extreme events; Correlations
Out of sample forecasts of quadratic variation
Keywords: داده های فرکانس بالا; C14; C22; C53; Market microstructure noise; High frequency data; Measurement error; Realized volatility; Two scales realized volatility; Out of sample forecasts;
The truth about interest rate futures and forwards: Evidence from high frequency data
Keywords: داده های فرکانس بالا; G13; Futures; Forward rate agreements; Pricing; High frequency data;
Estimation of the volatility persistence in a discretely observed diffusion model
Keywords: داده های فرکانس بالا; 60G18; 60G99; 60H05; 60H40; 60G15; 62F12; 62F99; 62M09; 62P05Stochastic volatility models; Discrete sampling; High frequency data; Fractional Brownian motion; Scaling exponent; Adaptive estimation of quadratic functionals; Wavelet methods
On the origin of the Epps effect
Keywords: داده های فرکانس بالا; Financial correlations; Epps effect; High frequency data;
Extreme co-movements and extreme impacts in high frequency data in finance
Keywords: داده های فرکانس بالا; C12; C13; C4; C32; C53; High frequency data; Exchange rate; Extreme dependence;
Using self-organizing maps to adjust for intra-day seasonality
Keywords: داده های فرکانس بالا; C22; F31; G14; Self-organizing maps; Currency market; Intra-day seasonality; High frequency data;
Swap pricing: Evidence from the sterling swap market
Keywords: داده های فرکانس بالا; G13; G14; Swap pricing; High frequency data; Pricing efficiency;
A reexamination of the market efficiency hypothesis: Evidence from an electronic intra-day, inter-dealer FX market
Keywords: داده های فرکانس بالا; C22; F31; G14Autocorrelation; Market efficiency; Foreign exchange; High frequency data
Nonlinear dynamics in Nasdaq dealer quotes
Keywords: داده های فرکانس بالا; High frequency data; Dealer markets; Error correction models; Nonlinear impulse-response functions
Separating microstructure noise from volatility
Keywords: داده های فرکانس بالا; G12; C14; C22Volatility; Volatility timing; Microstructure noise; High frequency data
Information asymmetry surrounding earnings and dividend announcements: An intra-day analysis
Keywords: داده های فرکانس بالا; Earnings and dividend announcements; Information asymmetry; High frequency data;
Uncovered interest parity: it works, but not for long
Keywords: داده های فرکانس بالا; C22; F31; F39; Uncovered interest parity; Settlement; Foreign exchange; High frequency data;