Seminar on Probability and Statistics

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Organizer(s) Nakahiro Yoshida, Teppei Ogihara, Yuta Koike

2017/01/26

13:00-16:00   Room #052 (Graduate School of Math. Sci. Bldg.)
Ioane Muni Toke (Centrale Supelec Paris)
High-frequency financial data : trades and quotes databases, order flows and time resolution I, II, III

[ Abstract ]
I present some of the challenges associated with preparing high-frequency trades and quotes databases for statistics purposes. In a first part, I investigate TRTH tick-by-tick data on three exchanges (Paris, London and Frankfurt) and on a five-year span. I analyse the performances of a procedure of reconstruction of orders flows. This turns out to be a forensic tool assessing the quality of the database: significant technical changes affecting the exchanges are tracked through the data. Moreover, the choices made when reconstructing order flows may have consequences on the quantitative models that are calibrated afterwards on such data. I also provide a refined look at the Lee–Ready procedure and its optimal lags. Findings are in line with both financial reasoning and the analysis of an illustrative Poisson model. In a second part, I investigate Nikkei-packaged Tokyo-traded ETF data. The application the order flow reconstruction procedure underlines the differences between the TRTH and Nikkei data. In a brief last part, we will discuss the time resolution of these databases and the potential problems arising when modelling a limit order book with simple point processes.