Abstract
The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is triggered by technological progress in trading systems and trade recording as well as an increasing importance of intraday trading, optimal trade execution, order placement and liquidity dynamics. Technological progress and the growing dominance of electronic trading allows to record market activity on high frequency and with high precision leading to advanced and comprehensive data sets. The informational limiting case is reached when all market events, e.g., in form of order messages, are recorded. Such recording schemes result in data bases which are even more detailed than transaction data and allow to reproduce the entire order flow as well as the underlying order book.
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Hautsch, N. (2012). Introduction. In: Econometrics of Financial High-Frequency Data. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-21925-2_1
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DOI: https://doi.org/10.1007/978-3-642-21925-2_1
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