Concepedia

High-frequency Data Cleaning

High-Frequency Data Cleaning is a systematic methodological framework within financial econometrics that distinguishes itself by addressing the unique noise, irregularities, and structural limitations inherent in high-frequency financial time series data through specialized preprocessing techniques such as outlier filtration, tick-level synchronization, and microstructure noise reduction.

16

Publications

839

Citations

99

Authors

45

Institutions

Publications per year

2017–2026

10

Parents

Publications

16

How to Clean Enhanced TRACE Data

Jens Dick‐Nielsen · SSRN Electronic Journal · 2013 · 245 citations · Full text

, , +17

The missing links: A global study on uncovering financial network structures from partial data

Kartik Anand, Iman van Lelyveld, Ádám Banai et al. · Journal of Financial Stability · 2017 · 143 citations · Full text

, , +14

Now-casting inflation using high frequency data

Michèle Modugno · International Journal of Forecasting · 2013 · 68 citations

, , +10

Stylised facts for high frequency cryptocurrency data

Yuanyuan Zhang, Stephen Chan, Jeffrey Chu et al. · Physica A Statistical Mechanics and its Applications · 2018 · 67 citations

, , +9

The Atacama Cosmology Telescope: Mitigating the Impact of Extragalactic Foregrounds for the DR6 Cosmic Microwave Background Lensing Analysis

Niall MacCrann, Blake D. Sherwin, Frank J. Qu et al. · The Astrophysical Journal · 2024 · 56 citations · Full text

, , +17

1–5 of 16

Authors

99

  1. IH
    Ib Hansen

    Bank of Italy, Italy

    2 publications · 157 citations

    2

    h-index

  2. HL
    Hwayun Lee

    Central Bank of Brazil, Brazil

    2 publications · 157 citations

    2

    h-index

  3. ÁB
    Ádám Banai

    Hungarian National Bank, Hungary

    2 publications · 157 citations

    2

    h-index

  4. GH
    Grzegorz Hałaj

    European Central Bank, Germany

    2 publications · 157 citations

    2

    h-index

  5. SF
    Soeren Friedrich

    Federal Reserve Bank of New York, United States

    2 publications · 157 citations

    2

    h-index

1–5 of 99

Institutions

45

  1. De Nederlandsche Bank

    Amsterdam, The Netherlands

    2 h-index

    2 publications

    157 citations

  2. European Central Bank

    Frankfurt am Main, Germany

    2 h-index

    3 publications

    171 citations

  3. Hungarian National Bank

    Budapest, Hungary

    2 h-index

    2 publications

    157 citations

  4. Bank of Korea

    Seoul, South Korea

    2 h-index

    2 publications

    157 citations

  5. Bank of Mexico

    Mexico City, Mexico

    2 h-index

    4 publications

    314 citations

  6. Bank of Italy

    Rome, Italy

    2 h-index

    2 publications

    157 citations

  7. Central Bank of Brazil

    Brasília, Brazil

    2 h-index

    3 publications

    300 citations

  8. Bank of England

    London, United Kingdom

    2 h-index

    2 publications

    157 citations

1–8 of 45

Venues

  1. SSRN Electronic Journal

    Repository · 3 publications · 292 citations

    3

    h-index

  2. Flow Measurement and Instrumentation

    1 publications · 24 citations

    1

    h-index

  3. The Astrophysical Journal

    ApJ · 1 publications · 56 citations

    1

    h-index

  4. 1

    h-index

  5. Tellus B

    1 publications · 33 citations

    1

    h-index

1–5