Major Issues in High-frequency Financial Data Analysis: A Survey of Solutions
Highly recommended for quant researchers interested in market microstructure and high-frequency trading, offering comprehensive data-driven strategies and methods.
Paper Metadata
Publication Date: 2024-05-20
Source: SSRN
Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4834362
Keywords
Nonstationarity
signal-to-noise ratios
asynchronous data
imbalanced data
intraday seasonality
Notes for Review
Recommendation: 95%
This paper is a must-read for quant researchers focusing on market microstructure and high-frequency trading. It provides a thorough review of recent developments in analyzing high-frequency financial data, addressing critical issues such as nonstationarity, low signal-to-noise ratios, and asynchronous data. The paper is highly data-driven, offering a range of quantitative methods including statistical, machine learning, and econometric approaches. The authors, from reputable institutions, present easy-to-read charts and tables that summarize surveyed methods and articles, making it an invaluable resource for developing trading strategies in major markets. The focus on practical data preprocessing techniques and the generation of alpha through innovative strategies make this paper a standout in the field, deserving a high read-recommendation score of 95 out of 100.
Abstract
We review recent articles that focus on the main issues identified in high-frequency financial data analysis. The issues to be addressed include nonstationarity, low signal-to-noise ratios, asynchronous data, imbalanced data, and intraday seasonality. We focus on the research articles published since 2020 on recent developments and relatively new ideas that address the issues, while commonly used approaches in the literature are also reviewed. The methods for addressing the issues are mainly classified into two groups: methods for data preprocessing and quantitative methods. The latter include various statistical, machine learning, and econometric methods. We also provide easy-to-read charts and tables to summarize all the surveyed methods and articles.