The continuous-time tag has no wiki summary.
8
votes
4answers
366 views
Position management in presence of continuous forecast
Let's say we have an equity liquidity-providing model that was fitted on 1 minute bar periods. The model forecasts the 1-min next period return given the activity of the previous bars. Now, when we ...
6
votes
1answer
1k views
What are the main differences between discrete and continuous time models when modeling asset price dynamics?
My intuition says that both approaches, discrete time models and continuous time models will be models (i.e. approximations) of reality. Therefore it should be possible to develop useful models in ...
2
votes
3answers
256 views
Analyze raw tick data
I'd like to work with raw tick data and naturally this data is unevenly spaced (for example, a couple of quotes are at the same second etc.)
For example
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