High frequency data
As a result of advanced computational power in recent decades, high frequency data can be accurately collected at an efficient rate for analysis.
[1] 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.
[3] High frequency observations across one day of a liquid market can equal the amount of daily data collected in 30 years.
[3] Model predictions cover a wide range of market behaviors including volume, volatility, price movement, and placement optimization.
Regulatory agencies take a large interest in these models due to the fact that liquidity and price risks are not fully understood in terms of newer forms of automated trading applications.
[5] Data collected details both trades and quotes, including price changes and direction, time stamps, and volume.
[4] In financial analysis, high frequency data can be organized in differing time scales from minutes to years.
[7] High frequency data largely incorporates pricing and transactions, of which institutional rules prevent from drastically rising or falling within a short period of time.
[7] Analysis first made by Engle and Russel in 1998 notes that high frequency data follows a diurnal pattern, with the duration between trades being smallest at the open and the close of the market.
Similarly, the duration and transaction rates between trades tend to cluster, denoting dependence on the temporal changes of price.
An outstanding quality of this maximum frequency is extreme irregularly spaced data, due to the large spread of time that a dis-aggregated collection imposes.
[9] Due to advances in data collection technology and human networks coupled with the placement of high frequency monitoring stations at a variety of lake types, these events can be more effectively explored.
The use of high frequency data in these studies is noted to be an important factor in allowing analyses of rapidly occurring weather changes at lakes, such as wind speed and rainfall, increasing understandings of lake capacities to handle events in the wake of increasing storm severity and climate change.
