Concepedia

High-frequency Financial Data

High-Frequency Financial Data is a type of financial data characterized by observations recorded at very short time intervals, typically ranging from seconds to milliseconds, that capture the chronological sequence of transactions, quotes, or order book changes in electronic markets.

601

Publications

44.6K

Citations

1.1K

Authors

636

Institutions

Publications per year

2017–2026

199

Parents

Children

Publications

601

High-Frequency Trading and Price Discovery

Jonathan Brogaard, Terrence Hendershott, Ryan Riordan · Review of Financial Studies · 2014 · 1.2K citations · Full text

, , +14

Count (and count-like) data in finance

Jonathan B. Cohn, Zack Liu, Malcolm Wardlaw · Journal of Financial Economics · 2022 · 957 citations

, , +10

Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

Ole E. Barndorff–Nielsen, Neil Shephard · Econometrica · 2004 · 948 citations

, , +17

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Yacine Aı̈t-Sahalia, Per A. Mykland, Lan Zhang · Review of Financial Studies · 2005 · 923 citations

, , +16

Scaling of the distribution of fluctuations of financial market indices

Parameswaran Gopikrishnan, Vasiliki Plerou, Luı́s A. Nunes Amaral et al. · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 1999 · 888 citations · Full text

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1–5 of 601

Authors

1.1K

  1. YA
    Yacine Aı̈t-Sahalia

    Princeton University, United States

    13 publications · 2.6K citations

    13

    h-index

  2. MM
    Michel M. Dacorogna

    Lawrence Berkeley National Laboratory, United States

    11 publications · 753 citations

    11

    h-index

  3. NH
    Nikolaus Hautsch

    University of Vienna, Austria

    10 publications · 550 citations

    10

    h-index

  4. JF
    Jianqing Fan

    Princeton University, United States

    11 publications · 952 citations

    10

    h-index

  5. UM
    Ulrich Müller

    Jena University Hospital, Germany

    10 publications · 633 citations

    10

    h-index

1–5 of 1.1K

Institutions

636

  1. University of Chicago

    Chicago, United States

    16 h-index

    22 publications

    3.8K citations

  2. Princeton University

    Princeton, United States

    16 h-index

    25 publications

    3K citations

  3. Aarhus University

    Aarhus, Denmark

    13 h-index

    25 publications

    3.7K citations

  4. University of Wisconsin–Madison

    Madison, United States

    10 h-index

    19 publications

    928 citations

  5. Cornell University

    Ithaca, United States

    10 h-index

    11 publications

    3.2K citations

  6. Humboldt-Universität zu Berlin

    Berlin, Germany

    10 h-index

    14 publications

    888 citations

  7. University of Manchester

    Manchester, United Kingdom

    10 h-index

    13 publications

    600 citations

  8. Duke University

    Durham, United States

    10 h-index

    16 publications

    2.2K citations

1–8 of 636

Venues

  1. SSRN Electronic Journal

    Repository · 88 publications · 3.4K citations

    35

    h-index

  2. 26

    h-index

  3. Quantitative Finance

    31 publications · 1.8K citations

    22

    h-index

  4. Journal of Econometrics

    22 publications · 1.2K citations

    19

    h-index

  5. Journal of Financial Econometrics

    18 publications · 1.4K citations

    15

    h-index

1–5