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We have recently implemented a FAST decoder from scratch and let me tell you it is not easy. But if you want to go down that path this is the only reference material I found online: http://jettekfix.com/fast_tutorial Yes, FAST is just compression for FIX, used mainly for market data streaming. When you are done you should be able to read any FAST template ...


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This reminds me of a paper by Rama Cont: "Empirical properties of asset returns: stylized facts and statistical issues.". You can download here: http://www.cmap.polytechnique.fr/~rama/papers/empirical.pdf He also has a paper on volatility clustering: "Volatility clustering in financial markets: empirical facts and agent-based models.", which may be of your ...


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As you've mentioned, it depends on the trading venue and the exact market data product that you're subscribed to. Unless otherwise stated, the data is usually updated at every occurrence of an event (explains the irregualr intervals), and often, the data is not disseminated immediately and multiple events may be batched in a single message informing you of ...


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Stationarity. The distribution of returns is non-stationary. Moreover, standard deviation of returns is not constant over time. Symmetry. The distribution of returns is approximately symmetric with increasing leptokurtosis as sampling frequency increases. However, large drawdowns are not matched with equally large upward movements. Gaussian behavior. ...


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There are many different options. The Fed has a Senior Loan office survey of whether credit conditions have tightened or loosened. Macroeconomic forecasters often use this as part of U.S. GDP forecasting models. Other market-based variables, such as VIX and the spread between various bonds, to get a sense of financial conditions. There are also some ...


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Turnover ratio does not quite cut it because high liquidity is not the same as high trading activity. A nicer definition is how sensitive is the price to a given volume that is bid or offered. For that, check out this paper.


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Turnover ratio (TR) is one of the variables used. $TR_t=\frac{Total_. shares_. traded_. at_. time_. t}{Market_. capitalisation}$. This variable indicates the number of shares traded in a day. Liquidity is a tricky area and you will find various measures in various papers according the authors preference. I do not recommend directly using volume or market ...



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