Search Results - "high frequency data"
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Modeling high frequency data using hawkes processes with power-law kernels
Published 2016“…Based on one-trading-day data of one representative stock, it is shown that Hawkes processes with power-law kernels are able to reproduce the intensity of jumps in the price processes more accurately, which suggests that they could serve as a realistic model for high frequency data on the level of microstructure.…”
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The role of high-frequency data in volatility forecasting: evidence from the China stock market
Published 2021“…This research investigates the role of high-frequency data in volatility forecasting of the China stock market by particularly feeding different frequency return series directly into a large number of GARCH versions. …”
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Modelling and Forecasting Exchange Rate Volatility using High-frequency Data－Based on the US dollar
Published 2018“…Abstract In this dissertation, we compare the performance of various models in predicting the USD dollar bilateral exchange rate volatility based on high-frequency data. Four exchange rates are selected, namely USD / EUR, USD / JPY, USD / GBP and USD / SEK. …”
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Role of high-frequency data, distribution assumption and trading volume in volatility forecasting in China stock market
Published 2021“…The behavior of high-frequency data in financial markets highly relates to market efficiency and information flow. …”
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The Short-time Effects of US News on the GBP/USD
Published 2013Subjects: “…foreign exchange rate; GBP/USD; USA macroeconomic news; high frequency data; economic condition; price reaction.…”
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Hawkes-based models for high frequency financial data
Published 2021“…Compared with low frequency data, high frequency data exhibit distinct empirical properties, including, for instance, essentially discontinuous evolution paths, time-varying intensities, and self-exciting features. …”
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Forecasting of Realised Volatility with the Random Forests Algorithm
Published 2018“…In experiments with historical high frequency data, we demonstrate improvements of forecast accuracy for the proposed model.…”
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The dynamics of informed trading around corporate bankruptcies
Published 2024“…We investigate the dynamics of informed trading both before and after corporate bankruptcy announcements using high frequency data. Our findings reveal that pre-announcement informed selling attenuates subsequent announcement returns, with this effect being weaker for firms receiving extensive pre-announcement media coverage or adverse news sentiment. …”
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Investor Sentiment, Unexpected Inflation, and Bitcoin Basis Risk
Published 2024“…This paper uses high-frequency data to examine whether Bitcoin basis risk is linked to investor sentiment from established financial markets. …”
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FPGA implementation of multi frequency continuous phase frequency shift keying (MCPFSK) modulation techniques for HF data communication
Published 2004“…In HF (High Frequency) data communication systems [1,2], FSK (Frequency Shift Keying) digital modulation is widely used. …”
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Forecast volatility in value of the EUR/USD
Published 2013“…Secondly, the relatively high-frequency data is capable for forecasting better than the low-frequency data. …”
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The Impact of Earning Surprise on Return and Volatility : A Comparative study between US and Australia using tick by tick data
Published 2015“…This research aims to evaluate and comparative the impact of earnings surprises on stock returns and volatility using high frequency data from stock markets in Australia and United States of America. …”
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Bitcoin volatility forecasting with the HAR-type models
Published 2019“…We aim to forecast the volatility of bitcoin using high-frequency data in this paper. Based on the HAR-RV model, we construct extensive HAR-type models by including various jump components and analysis their in-sample regression fitness and out-of-sample forecast abilities. …”
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Testing for farmer stock market-unemployment hypothesis during the COVID-19 pandemic in Malaysia
Published 2023“…We performed unit root, cointegration and short-run as well long-run non-causality tests between the stock market and unemployment rate using high frequency data for the period January to October 2020. …”
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Do psychological fallacies influence trading in financial markets? Evidence from the foreign exchange market
Published 2017“…The present study is based on high-frequency data from a market-maker in the foreign exchange market. …”
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Global engagement and returns volatility
Published 2016“…This paper finds that a greater reliance on foreign market sales increases the volatility of firms’ stock returns using high-frequency data for publicly-listed Japanese manufacturing firms over the period 2000 to 2010. …”
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Modeling and forecasting the realized volatility of bitcoin using realized HAR-GARCH-type models with jumps and inverse leverage effect
Published 2022“…Using the high-frequency data of Bitcoin, this study aims to model the time-varying volatility identified in the residuals of the heterogeneous autoregressive (HAR) model of realized volatility using the symmetric, asymmetric and long-memory generalized autoregressive conditional heteroscedastic (GARCH) models. …”
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