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1answer
42 views

Forex trades: what time zone are trade and value dates specified in?

When receiving a value date of D from the counterparty for a trade in NZD/USD, is D assumed to be date D in Auckland date D in New York date D in UTC date D in some arbitrary time zone ? There ...
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1answer
117 views

How does one use the Johansen cointegration test in a linear time series model?

How does one use the Johansen cointegration test in a linear time series model? Should I only use normalized coeffients for interpretation? Or, once I know that the variables are cointegrated, do I ...
4
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1answer
251 views

time in time series database - UTC or local

I strictly store UTC time stamps inside time series files or databases, mainly to allow processing several time series together. Timezone information is kept with each time series file or item, so ...
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2answers
180 views

Trade Count Time Series

Is historical information on the counts of trades in single stocks, futures, options etc. available somewhere for download or purchase? If not, which ways can you think of to gather it?