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off topic. Please see past questions and read the FAQ before posting with this tag.
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The Financial Information eXchange (FIX) protocol is an electronic communications protocol initiated in 1992 for international real-time exchange of information related to the securities transactions …
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Questions that do not require specific technical expertise in order to answer properly. Questions must be of particular interest and usefulness to professionals and academics to qualify as on topic.
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The [Kalman filter][1], also known as linear quadratic estimation (LQE), is an algorithm that uses a series of measurements observed over time, containing noise (random variations) and other inaccurac…
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High frequency (or ultra high frequency) data cannot be used as continuous regularly sampled time series to build estimators of: volatility, traded volumes, correlations, etc...
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