Empirical Properties of High-Frequency Data

Abstract

In this chapter, we present financial high-frequency data and their empirical properties. We discuss data preparation issues and show the statistical properties of various high-frequency variables based on blue chip assets traded at the NYSE, NASDAQ and XETRA. Section 3.1 focuses on peculiar problems which have to be taken into account when transaction data sets are prepared. Section 3.2 discusses the concept of so-called financial durations arising from aggregations based on trading events. Section 3.3 illustrates the statistical features of different types of financial durations including trade durations, price (change) durations and volume durations. In Sect.3.4, we discuss the properties of further trading characteristics such as high-frequency returns, trading volumes, bid-ask spreads and market depth. Section 3.5 presents the empirical features of time aggregated data. Finally, Sect.3.6 gives a compact summary of the major empirical features of high-frequency data.