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1、AnalysisofHighFrequencyFinancialData:Models,MethodsandSoftware.PartI:DescriptiveAnalysisofHighFrequencyFinancialDatawithS-PLUS.EricZivot∗July4,2005.1IntroductionHigh-frequencyfinancialdataareobservationsonfinancialvariablestakendailyoratafinertimescale,andareoftenirregularlyspacedoverti
2、me.Advancesincomputertechnologyanddatarecordingandstoragehavemadethesedatasetsincreasinglyaccessibletoresearchersandhavedriventhedatafrequencytotheultimatelimitforsomefinancialmarkets:timestampedtransaction-by-transactionortick-by-tickdata,referredtoasultra-high-frequencydatabyEngle(2
3、000).Forequitymarkets,theTradesandQuotes(TAQ)databaseoftheNewYorkStockExchange(NYSE)containsallrecordedtradesandquotesonNYSE,AMEX,NASDAQ,andtheregionalexchangesfrom1992topresent.TheBerkeleyOptionsDataBaserecordedsimilardataforoptionsmarketsfrom1976to1996.Inforeignexchangemarkets,Olse
4、nAssociatesinSwitzerlandmaintainsadatabaseofindicativeFXspotquotesformanymajorcurrencypairspublishedovertheReuters’networksincethemid1980’s.Thesehigh-frequencyfinancialdatasetshavebeenwidelyusedtostudyvariousmarketmicrostructurerelatedissues,includingpricediscovery,competitionamongrel
5、atedmarkets,strategicbehaviorofmarketparticipants,andmodelingofreal-timemarketdynamics.Moreover,high-frequencydataarealsousefulforstudyingthestatisticalproperties,volatilityinparticular,ofassetreturnsatlowerfrequen-cies.Excellentsurveysontheuseofhigh-frequencyfinancialdatasetsinfinanci
6、aleconometricsareprovidedbyAndersen(2000),Campbell,LoandMacKinlay(1997),Dacarognaet.al.(2001),Ghysels(2000),GoodhartandO’Hara(1997),Gouri´erouxandJasiak(2001),Lyons(2001),Tsay(2001),andWood(2000).∗Partsofthesenotesarebasedontheunpublishedpaper“AnalysisofHighFrequencyFinancialDatawith
7、S-PLUS”byBingchenYanandEricZivot.DataandS-PLUSscriptsareavailableathttp:\faculty.washington.eduezivotezresearch.htm.1High-frequencyfinancialdatapossessuniquefeaturesabsentindatameasuredatlowerfrequencies,andanalysisofthesedataposesinterestinganduniquechallengestoeconometricmodeling
8、andstatistic
