QUESTIONS

  1. What properties of high-frequency data affect portfolio management strategies?
  2. How does the volume of high-frequency data impact estimation of optimal portfolio allocation?
  3. How does the bid-ask bounce factor into the high-frequency portfolio allocation decisions?
  4. How does irregular spacing in time influence high-frequency portfolio allocation?
  5. How can different data sampling methodologies affect high-frequency portfolio allocation decisions?

1 Dacorogna, Gencay, Muller, Olsen, and Pictet, An Introduction to High-Frequency Finance.

2 Fulvio Corsi, Gilles Zumbach, Ulrich Müller, and Michael M. Dacorogna “Consistent High-Precision Volatility from High-Frequency Data,” Economics Notes 30, no. 2 (2001): 183–204.

3 Valeri Voev and Asger Lunde, “Integrated Covariance Estimation Using High-Frequency Data in the Presence of Noise,” Journal of Financial Econometrics 5, no. 1 (2007): 68–104.

4 Richard R. Roll, “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market,” Journal of Finance 39, no. 4 (1984): 1127–1240.

5 Joel Hasbrouck, Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading (New York: Oxford University Press, 2007).

6 Charles Goodhart and Maureen O'Hara, “High Frequency Data in Financial Markets: Issues and Applications,” Journal of Empirical Finance 4, nos. 2 and 3 (1997): 80–81.

7 Dacorogna, Gencay, Muller, Olsen, and Pictet, An Introduction to High-Frequency Finance.

8 Douglas W. Diamond and ...

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