Tagged Questions
3
votes
1answer
219 views
Should I use SSAS to store Tick and bar data?
I have been looking for a low cost solution to effectively store and query tick and bar data.
Databases like kdb+ and Streambase are too expensive for me.
Building a custom solution with SSAS (Sql ...
10
votes
2answers
551 views
Why is the ratio of Hi-Low range to Open-Close range close to 2?
I tried it in several symbols and timeframes with the same result:
$$\frac {mean(HIGH-LOW)}{mean(|CLOSE-OPEN|)}$$
...
9
votes
2answers
203 views
Effective Euro-USD (EURUSD) Exchange Rate Prior to Euro's Existence
Motivation: I am running a quantitative analysis that requires long-term, exchange rate data.
Problem: Does anyone have methods for dealing with the EURUSD exchange rate prior to the Euro's ...
7
votes
2answers
957 views
Is there a technique for using xts or zoo objects with options data (i.e., many entries per date) in R?
I am starting to work with options data from optionmetrics. I use data frames, but it seems like xts or zoo objects are the way to go for features and speed. I can't figure out the best work-around to ...
