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visits member for 3 years
seen Oct 5 at 15:46

Oct
13
awarded  Yearling
Sep
30
awarded  Explainer
Apr
28
revised Deep bid ask orders
fixed typos
Apr
19
comment Were can I find Historical Interest Rate Data?
Your university library is the best place to start. Likely they have a data desk.
Apr
19
revised Were can I find Historical Interest Rate Data?
edited title
Apr
7
comment Bloomberg ticks is difference from Reuter ticks?
I would not assume they are from LSE. They are from your data vendor and what you get exactly depends on your contract and the preprocessing that is performed on the raw data from LSE and the other venues where the shares are traded. Voted to close.
Apr
7
comment Bloomberg ticks is difference from Reuter ticks?
What do you mean with "some of total value"? You should also elaborate on the differences: e.g. is the RDF data generally more granular? Ultimately you should contact your data vendors to understand the exact nature of the data.
Dec
14
awarded  Informed
Oct
14
comment Physical Option Implied Distribuition
@MattWolf, your first comment refers to option pricing, in which case I agree that one does not need the physical probabilities. At the same time OP did not ask explicitly about pricing. AFAIK this is an active area of research.
Oct
13
awarded  Yearling
Oct
13
comment How to apply Ljung Box Test?
I'd advise against Ljung-Box test for financial data. It has terrible size properties.
Oct
13
comment Physical Option Implied Distribuition
To get an estimate of the market's forecast of returns.
Oct
13
answered Physical Option Implied Distribuition
Oct
13
comment Physical Option Implied Distribuition
@MattWolf, need is very subjective.
Sep
8
comment Why non-stationary data cannot be analyzed?
"standard errors of non-stationary processes" doesn't mean much. Your comment applies to what is known as 'mean stationarity'.
Sep
3
revised Using variance ratios to test for mean reversion
deleted 2 characters in body
Aug
27
asked What are modern algorithms for trade classification?
Jun
7
reviewed Needs Improvement Analyze raw tick data
Jun
7
reviewed Satisfactory Iterating through every path of a Trinomial Tree
Jun
7
reviewed Satisfactory What is the difference between convertible bond and bond with warrant?