Hot answers tagged nasdaq
2
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).
...
1
The cross-validation procedure does not turn on the choice of algorithm.
Yes - calculate the prediction error of the fitted models when predicting the V'th part of the data. Combine the V estimates of prediction average using a simple average.
Subsets should be randomly sampled (roughly equally sized). 2a. Subsets should not overlap.
No. As long as the ...
Only top voted, non community-wiki answers of a minimum length are eligible
