High-Frequency and intraday financial data in general, have been an important focus of research in finance, econometrics and statistics for over two decades. There are mainly two streams of studies in this area: 1) time series properties at tick by tick or fixed high frequency resolution, 2) inference based on diffusion processes. The distinction is not sharp. The focus of the statistical analysis has been on building of time series models at fine resolution, possibly at non-evenly spaced times, or on estimating quantities, i.e. the noise covariance’s, implied by the continuous time financial theory.
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