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The average would be called the mid-price, not the best in my opinion, but that depends on your modeling. Another strategy is to weight the bid and offer prices according to size, also called the micro-price or bid-offer weighted price. This has the advantage of moving your calculated price closer to where it is traded as volume is depleted from whatever ...


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If you are familiar with programming (which is required to deal with HF data), I would strongly recommend you to use the "HighFrequency" R package. It includes a lot of procedures to clean HF data and to estimate volatility. You can find here a very good tutorial about the package. If needed you can find here some good tutorials for R. Credits: The ...


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It is not entirely clear what you're after, since Method 1 from the question is a statistical model, while Method 2 is a statistical test. From the initial question, I'm going to make the assumption that what you're actually after is some number that summarises "momentum" on a given day. If this is the case, I would weakly prefer the Ljung-Box test ...



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