High‐Frequency Data
Published in Encyclopedia of Quantitative Finance • Feb 26, 2010
Authors:,
Fabrizio Lillo
Salvatore Miccichè
Abstract
Abstract We introduce some of the most common types of high‐frequency financial data: tick‐by‐tick data, trade and quote data, order book data, and market member data. We describe the types of variables that are usually available in the most popular high‐frequency financial databases. We discuss the...
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