High frequency data
time-series data collected at fine scale
High frequency data refers to time-series data collected at an extremely fine scale. As a result of advanced computational power in recent decades, high frequency data can be accurately collected at an efficient rate for analysis. Largely used in the financial field, high frequency data provides observations at very frequent intervals that can be used to understand market behaviors, dynamics, and micro-structures.
High frequency data collections were originally formulated by massing tick-by-tick market data, by which each single 'event' (transaction, quote, price movement, etc.) is characterized by a 'tick', or one logical unit of information. Due to the large amounts of ticks in a single day, high frequency data collections generally contain a large amount of data, allowing high statistical precision. High frequency observations across one day of a liquid market can equal the amount of daily data collected in 30 years.
Use
Due to the introduction of electronic forms of trading and internet-based data providers, high frequency data has become much more accessible and can allow one to follow price formation in real time. This has resulted in a large new area of research in the high frequency data field, where academics and researchers use the characteristics of high frequency data to develop adequate models for predicting future market movements and risks. Model predictions cover a wide range of market behaviors including volume, volatility, price movement, and placement optimization.
There is an ongoing interest in both regulatory agencies and academia surrounding transaction data and limit order book data, of which greater implications of trade and market behaviors as well as market outcomes and dynamics can be assessed using high frequency data models.
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This entry incorporates text from “High frequency data” on English Wikipedia. Contributors are listed in the page history. Text is available under the Creative Commons Attribution-ShareAlike 4.0 License. Selected authority identifiers and statements are retrieved from Wikidata under CC0; their references and qualifiers remain part of the verification path.