Le Fol, Gaëlle; Mercier, Ludovic - Université Paris-Dauphine (Paris IX) - 1998
In this paper, we are dealing with financial high frequency data; any time an order reaches the market, any time a … cancellation or transaction occurs, a new record is made, ending up with a huge amount of data. Hence the time interval between two … preprocessing technique to obtain a regularly spaced grid of data. The main contribution of this paper is to survey most of the time …