I have to compute Amihud (2002) illiquidity measure for US stock market and I have some missing values in the time-series. Many papers suggest to use linear interpolation for fitting missing values; ...
I have some market data (daily time series) for bond prices and CDS indices and I would like to generate synthetic versions of these which are statistically "similar" for testing trading strategies. ...
I was wondering what is best practice for representing elements in a time series, especially with large amounts of data. The focus/context is in a back testing engine and comparing multiple series. ...