Can someone give an overview or literature on Intraday Data Stylized Facts? In particular for equity market returns or exchange rates.
Objective: Get a list of all the companies that were ever part of an index (e.g.: FTSE100) in a given period of time (scale: years/decades). Method I have in mind: 1) Create an empty list k. 2) Get ...
I have a network dump of market data in the FIX/FAST format (transported over UDP). Are there standard pieces of software (similar to Wireshark) that will parse and allow for inspection of the ...
What are some of the commonly used techniques to analyze tick data? I am looking at tick data to see how the quotes/ mid-price evolves due to certain events in the market. Since tick data is ...
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 ...
I'm looking to convert some tickdata .csv files into a database on a local disk and then use R to call the data and do my various analytics and modelling. What are some best practices / ...
This is a follow-up to my previous question regarding anyone whom wanted to 'donate' data. So far no one has stepped up (learning more about buying and selling data, I realize that I'm going to have ...