CHAPTER 20
Working with High-Frequency Data
Irene Aldridge
Managing PartnerABLE Alpha Trading
This chapter examines issues surrounding equity portfolio management in high-frequency trading (HFT). The chapter shows that HFT strategies by their nature use a different population of data and the traditional methods of data analyses need to be adjusted accordingly. In particular, the chapter considers the idiosyncrasies and opportunities that high-frequency data bring, and how the data compare with the low-frequency data, wherever appropriate. The chapter also parses through the topics of volume, bid-ask-bounce and time-spacing inherent in the high-frequency data, as well as the decay of correlations between securities observed at high-frequencies.
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