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Questions tagged [high-frequency-data]

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In what "time" should we work in when handling high frequency data with latency?

I am wanting to know if there is any standard approach for the following situation: We receive trade and order book data over a connection from an exchange and are interested in downsampling this into ...
QMath's user avatar
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What program should I use to handle large high frequency data?

I am going to do research about exchange. For this purpose I get daily data for all stocks to reconstruct order book. I have data on 900 trading days. Each day have data about ticker, timestamp, ...
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futures roll - how is it applied to intraday data, e.g. minute level?

I have read many different approaches in rolling and adjusting futures contract to build a continuous time series. However, all of the examples I have seen are on daily data. While that is relatively ...
tinyneko's user avatar
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Is there a commonly accepted way to leverage the granularity of high frequency data while working within the constraints of lower frequencies?

Apologies if this is not the correct forum for this question. Access to high frequency data (trade data, quote data, limit order book updates, etc.) is currently relatively easy through various public ...
QMath's user avatar
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Normalise 5hr, 10hr, weekly, monthly returns using 1hr time bar

I have a question on normalisation of returns when working with high frequency bars, such as 10mins, 30mins or 1hr. Suppose I have a time series of 1hr bars. I'd like to compute 5hr, daily, weekly, ...
tinyneko's user avatar
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Memory effect of log returns of S&P 500

I am trying to reproduce the analysis discussed in https://arxiv.org/pdf/cond-mat/9905305.pdf where they use high-frequency data (1-minute frequency) of S&P500 from 1984 to 1996. In particular, ...
apt45's user avatar
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S&P 500 historic high frequency data

I am trying to reproduce the analysis discussed in https://arxiv.org/pdf/cond-mat/9905305.pdf where they use high-frequency data (1minute thick) of S&P500 from 1984 to 1996. In particular, I want ...
apt45's user avatar
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