Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

It appears q/KDB is being using for Time series analysis for HFT. What are some of the advantages of using q/KDB for HFT time series over other regular time series.

Does it provide for multivariate statistical testing etc done normally on time series?

Does it provide easy to use facilities for Statistical Arb and technical analysis?

Are there any free versions of q/KDB to use and learn?

share|improve this question

1 Answer 1

up vote 1 down vote accepted

KDB is a column oriented database and is optimized for time series. As far as I know there are no libraries available for statistical testing and you pretty much have to write things on your own.

This page has tutorials http://code.kx.com/wiki/Main_Page

You can download the free version from here http://kx.com/software-download.php

The most popular book is below http://code.kx.com/wiki/JB:QforMortals2/contents

share|improve this answer
    
Is there a good reference for kind of analysis done using this? Obviously, tick level data has varying time intervals rendering normal analysis useless. –  user12348 May 7 at 15:48
    
Some of the time series analysis books will have chapters addressing "High Frequency". You may want to start with ACD models –  user2142 May 7 at 16:42

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.