Study On The Relationship Between The High Frequency Snapshot Data And The Tick Data

With the development of computer technology and financial market, more and more scholars and investors join in the study on the high frequency data. They always focus on the price change of the financial assets. Essentially, the price change of the snapshot data is due to the repeated impact of the tick data. Hence, this paper uses the compound Poisson process to describe the relationship between the snapshot data and the tick data, and tries to find out the reason of price change under a microscope.This thesis firstly introduces some research actuality of high frequency data and some theoretical knowledge of random process. And then, uses the compound Poisson process to study the high frequency data. Based on the model, the thesis puts forward a test method and gives the theoretical proof. Finally, uses the SPDR S&P 500 data to test the model and the result shows that the model can describe the relationship well.