Hot answers tagged high-frequency
Financial modeling is often considered as a mixture of art and science. That is a way how you model your data depends on you. You can choose several approaches, for example: calculate max - min price for a given minute data - a very simple approach, calculate the standard deviation of minute-by-minute stock data, calculate GARCH family models for measuring ...
The classic text for machine learning is 'The Elements of Statistical Learning' by Tibshirani et al. I believe the term "data mining" is often used synonymously with "machine learning".
I second Tibshirani's book. There is an another edition you can download free on internet : http://www-bcf.usc.edu/~gareth/ISL/
There are many ways to calculate the volatility. timeframe does not metter. it can be monthly quarterly or daily data. You can call them as volatility metrics. Volatility Metrics Volatility is the degree of trading price over a specific time window. Historical volatility is the degree of price changes of past market prices.Volatility indicates the risk ...
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