Concepedia

High-frequency Data Analysis

High-Frequency Data Analysis is a specialized branch of financial econometrics that involves the statistical modeling and inference of financial time series data recorded at very short time intervals, distinguished by its focus on intraday dynamics, market microstructure effects, and the handling of irregularly spaced, large-volume data streams.

2K

Publications

153K

Citations

4.8K

Authors

1.8K

Institutions

Publications per year

2017–2026

632

Parents

Children

Publications

2K

<i>Planck</i>2015 results

P. A. R. Ade, N. Aghanim, M. Arnaud et al. · Astronomy and Astrophysics · 2016 · 10.6K citations · Full text

, , +16

The Distribution of Realized Exchange Rate Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Journal of the American Statistical Association · 2001 · 2.2K citations

, , +17

On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations

Morten O. Ravn, Harald Uhlig · The Review of Economics and Statistics · 2002 · 2K citations · Full text

, , +7

A study of the characteristics of white noise using the empirical mode decomposition method

Zhaohua Wu, Norden E. Huang · Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences · 2004 · 1.7K citations

, , +16

<i>Planck</i>2015 results

P. A. R. Ade, N. Aghanim, M. Arnaud et al. · Astronomy and Astrophysics · 2016 · 1.4K citations · Full text

, , +16

1–5 of 2K

Authors

4.8K

  1. LP
    L. P. L. Colombo

    University of Milan, Italy

    28 publications · 21.3K citations

    28

    h-index

  2. MT
    M. Tomasi

    University of Milan, Italy

    28 publications · 21.3K citations

    28

    h-index

  3. AG
    A. Gruppuso

    National Institute for Astrophysics, Italy

    29 publications · 21.3K citations

    28

    h-index

  4. CB
    C. Burigana

    National Institute for Astrophysics, Italy

    28 publications · 21.3K citations

    28

    h-index

  5. AC
    A. Curto

    University of Cambridge, United Kingdom

    28 publications · 21.3K citations

    28

    h-index

1–5 of 4.8K

Institutions

1.8K

  1. Centre National de la Recherche Scientifique

    Paris, France

    46 h-index

    1.9K publications

    1.5M citations

  2. Princeton University

    Princeton, United States

    42 h-index

    159 publications

    108.8K citations

  3. University of Oxford

    Oxford, United Kingdom

    41 h-index

    65 publications

    39.2K citations

  4. University of Chicago

    Chicago, United States

    39 h-index

    75 publications

    23.8K citations

  5. University of Manchester

    Manchester, United Kingdom

    37 h-index

    215 publications

    170.6K citations

  6. University of California, Berkeley

    Berkeley, United States

    36 h-index

    53 publications

    28.4K citations

  7. Imperial College London

    London, United Kingdom

    34 h-index

    137 publications

    103.3K citations

  8. University College London

    London, United Kingdom

    34 h-index

    137 publications

    89.7K citations

1–8 of 1.8K

Venues

  1. SSRN Electronic Journal

    Repository · 202 publications · 9.2K citations

    48

    h-index

  2. 38

    h-index

  3. Astronomy and Astrophysics

    32 publications · 21.5K citations

    30

    h-index

  4. Journal of Econometrics

    46 publications · 4.3K citations

    29

    h-index

  5. Quantitative Finance

    51 publications · 3.3K citations

    28

    h-index

1–5