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As @babelproofreader mentioned, I recently blogged about the Roll model (see the original paper), which provides a very simple method for inferring the bid/ask spread based on trade prices. In short, you can estimate the cost using using the covariance: $c = \sqrt{\gamma_1}$. Where $\gamma_1$ is the $Cov(r_t, r_{t-1})$. (The R code is provided in my post). ...


You are referring to the Penny Pilot Program. Only options whose premiums are quoted at a price less than \$3 may be eligible for penny increments, except for IWM, QQQ, and SPY, which are always quoted in pennies. The list of permitted classes doesn't seem to come from specific volume criteria. Instead, the SEC and the exchanges together roll-out names in ...


The data from hopey.netfonds is only data from the exchange. In this case all transactions you see there are NASDAQ quotations , hence the "O" after AAPL. It fails to provide transactions from other venues such as BATS etc. which is what free data providers usually use as Google finance


Data set A does look like transactions, but I would hesitate to say that it is every transaction. You would need to investigate the data source and how transactions are defined. Data set B looks like BBO (best bid and offer). Data sets C and D are not estimations; they're aggregations to a higher periodicity. You need to investigate the data sources for ...

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