Tagged Questions
2
votes
3answers
230 views
Analyze raw tick data
I'd like to work with raw tick data and naturally this data is unevenly spaced (for example, a couple of quotes are at the same second etc.)
For example
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3
votes
2answers
320 views
Entry and exit points for very short mean-reverting timeseries
I have a model specifying a cointegration relationship on a number of transaction-level timeseries.
I would like to specify entry and exit points for trades where these points ideally would be just ...
5
votes
1answer
325 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 ...
