Periodic pattern in high-frequency data

Maria Teresa Gonzalez Peres (Colegio Universitario de Estudios Financieros (CUNEF), Madrid)
Monday, November 26, 2012 - 2:00pm
Spandauer Strasse 1, Room 23

Financial series usually show periodic patterns during the trading day. This article proposes a general model to capture the intraday periodic pattern in financial series, and evaluates the long-term evolution of these series. This model (i) is additive although can be easily transformed into multiplicative, and (ii) it is represented by trigonometric series based on the Fourier transform, less prone to be affected by outliers. Using this methodology this article quantifies and finds evidence in favor of the intraday U-shape of the high-frequency VIX series.