Essays on High-Frequency Financial Data Analysis

• المؤلف الرئيسي: DONG, Yingjie
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2015
• الموضوعات: high-frequency data; integrated volatility; time transformation function; noise-to-signal ratio; Economics; Finance
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/etd_coll/115; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1119&context=etd_coll

This dissertation consists of three essays on high-frequency financial data analysis. I consider intraday periodicity adjustment and its effect on intraday volatility estimation, the Business Time Sampling (BTS) scheme and the estimation of market microstructure noise using NYSE tick-by-tick transac...