High Frequency Data

High Frequency Data consists of financial market data recorded at very short intervals, often down to the individual transaction or tick level. This data is the lifeblood of modern quantitative finance and algorithmic trading, allowing for the construction of detailed realized volatility models.

In cryptocurrency, this includes order book snapshots, trade executions, and funding rate updates. By analyzing this granular data, researchers can observe the mechanics of price discovery and liquidity provision in real-time.

It enables the identification of patterns that are invisible in daily or hourly data. However, it also requires significant computational power and careful handling to manage the noise inherent in such large datasets.