For my master thesis, I need high-frequency data with the market participant ID or which identifies the trading parties, respectively. I don't need the entire orderbook but just the matched orders ...
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. ...