Tagged Questions
5
votes
2answers
250 views
Recover full tick data from missing tick data
Due to some economics/regime problem, I can only have access to non full-tick data from an exchange.
To make the problem precise, a full tick data $X$ is a series of $(t_i,p_i,v_i)$ for $0 \leq i ...
11
votes
3answers
3k views
R: How feasible is it to store — and work with — tick data in a database connected to R?
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 / ...
6
votes
5answers
4k views
How to calculate historical intraday volatility?
Sorry for what must be a beginner question, but when I went to write code I realized I didn't understand exactly how historical volatility, or statistical volatility, is defined. Wikipedia tells me ...
5
votes
1answer
327 views
Applying models with normality assumption on tick data?
Beginner question. Having read a couple of papers and book chapters on high-frequency data forecasting, I'm surprised (and confused) that the same time series techniques can be applied to ...
