Abstract
Up to this point, we have only focused on daily equity data for our analysis. This low-granularity data comes with the nice property of being homogeneously spaced out in time. Homogeneity in time is a property that makes the mathematics of time series analysis much easier to handle. Tick data, on the other hand, is inherently nonhomogenous in time. Events such as book updates, trade updates, exchange messages and high-frequency news feeds, tend to arrive at arbitrary times.
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Georgakopoulos, H. (2015). High-Frequency Data. In: Quantitative Trading with R. Palgrave Macmillan, New York. https://doi.org/10.1057/9781137437471_8
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DOI: https://doi.org/10.1057/9781137437471_8
Publisher Name: Palgrave Macmillan, New York
Print ISBN: 978-1-349-46986-4
Online ISBN: 978-1-137-43747-1
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