ASA Journal Session: Journal of Business & Econoimc Statistics
Session Slot: 8:30-10:20 Monday
Estimated Audience Size: 80-100
AudioVisual Request: Overhead projector
Panel Session Title: Analysis of High Frequency Data: Problems and Future Research
High frequency data analysis is concerned with observations
taken at small time intervals. Examples include tick-by-tick transaction
data in the financial markets and the continuous ozone measurements
taken by a Satellite. These data provide information on
micro-structure of financial markets and ozone dynamics. They also
introduce new challenges and exciting research opportunities for
scientists in general and for statisticians in particular. Consider
the tick-by-tick transaction data in financial markets. The sample
size is huge, the transactions take place at irregular time intervals,
the price may change in multiples of one-sixteenth instead of
an arbitrary real number, and in many
situations only the bid and ask prices are available. Traditional time
series techniques are not equipped to handle such data.
The goal of this session is to ask leading researchers in four categories
to provide their views and experience in analyzing high frequency data,
focusing on characteristics of the data, the state of current research,
and future research directions in the area. The four categories are
(1) Econometrics
(2) Empirical Applications in financial market micro-structure
(3) Finance
(4) Statistics.
Theme Session: Yes
Applied Session: Yes
Session Organizer: Tsay, Ruey S. University of Chicago
Address: Graduate School of Business Univ of Chicago 1101 E 58th St Chicago, IL 60637-1511
Phone: 773-702-6750
Fax: 773-702-0458
Email: rst@gsbrst.uchicago.edu
Session Organizer: Watson, Mark Princeton University
Address: Woodrow Wilson School Princeton University Princeton, NJ 08544
Phone: 609-258-4811
Fax: 609-258-2809
Email: mwatson@princeton.edu
Session Timing: 110 minutes total (Sorry about format):
110 minutes total Opening Remarks by Chair - 5 minutes Panelist - 20 minutes each Floor Discusion - 25 minutes
Session Chair: Tsay, Ruey S. University of Chicago
Address: Graduate School of Business Univ of Chicago 1101 E 58th St Chicago, IL 60637-1511
Phone: 773-702-6750
Fax: 773-702-0458
Email: rst@gsbrst.uchicago.edu
Andersen, Torben G. Northwestern University
Address: Department of Finance J.L. Kellogg Gradudate School of Mgmt Northwestern University Evanston, IL 60208
Phone: 847-467-1285
Fax: 847-491-5719
Email: t-andersen@nwu.edu
Address: Department of Economics Penn State University 523 Kern Graduate Building University Park, PA 16802-3305
Phone: 814-865-7924
Fax: 814-863-4775
Email: eghysels@psu.edu
Polson, Nicholas Univ. of Chicago
Address: Graduate School of Business Univ of Chicago 1101 E 58th St Chicago, IL 60637-1511
Phone: 773-702-6750
Fax: 773-702-0458
Email: nick.polson@gsb.uchicago.edu
Wood, Robert Memphis State Univ
Address: Institute for the Study of Security Markets Memphis State University 32 Redthorn Cove Cordova, TN 38018
Phone: 901-755-8322
Fax: 901-753-8123
Email: raw@issm1.memphis.edu
List of speakers who are nonmembers: None