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The importance of High Frequency Data on the Financial Markets

Author

Listed:
  • Simona Adascalitei

    (Romanian Academy Iasi Branch)

Abstract

While the High Frequency Trading (HFT) activity is in decline and researchers have inconclusive results about its net (positive/negative) impact on the financial markets, massive quantities of High Frequency Data (HFD) become more and more accessible. The purpose of this paper is to highlight the importance of HFD on the Financial Markets. To support this statement, we will analyze some of the special characteristics of High Frequency Data (HFD) compared to the characteristics of Low Frequency Data (LFD). Then we will make a review of the papers that have proven that the use of HFD can improve the accuracy of volatility measures, volatility estimators, and volatility forecasts. Given this superiority of HFT over LFD, our aim is to encourage academics and practitioners to start focusing more on this type of data in order to have a better understanding of the highly dynamic financial markets.

Suggested Citation

  • Simona Adascalitei, 2015. "The importance of High Frequency Data on the Financial Markets," Proceedings of International Academic Conferences 2503637, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iacpro:2503637
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    File URL: https://iises.net/proceedings/16th-international-academic-conference-amsterdam/table-of-content/detail?cid=25&iid=002&rid=3637
    File Function: First version, 2015
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    More about this item

    Keywords

    High Frequenc Trading; High Frequency Data; Financial Markets; Volatility;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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