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I am going through some historical stock exchange data and I have stumbled on a few cases where the stock closing price is higher than the recorded high price; is this even possible or is there error in my data?

In case that this is possible, could someone please explain how it is that it is possible?

Edit: I don't understand why downvote a question that seems-to my eyes, at least- rather straightforward and admits an objective "yes/no" answer.

I am really baffled. I'd appreciate some guidance-even if you consider the question 'rubbish'-in order to 'improve' upon it.

I consider it really important to understand your data before starting to model it, otherwise you are just pushing garbage in your process and will undoubtably receive garbage as output.

Also, if the data are literred with measurement errors there are different techniques you need to use in order to get any sensible result.

As a final note consider that if the error-riden data come from prolific distributors then it's highly likely that other consumers of that data have been using inappropriate data and in all likelihood make inferences based on pure fiction!

I am not saying that this is the case but I don' t really know until I can figure out the answer to my question.

In closing, if you can relate to the issues raised in this edit please help me modify the question in a way that is acceptable.

Obviously, if you can answer the question please do.

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  • $\begingroup$ Would you mind sharing which security it was? I'm just curious... $\endgroup$ – amdopt Apr 27 '18 at 12:10
  • $\begingroup$ it is not a single security; I have found this discrepancy in approx. 40 out of 135 stocks I checked; the average frequency with which this discrepancy occurs is 0.07% with a sd equal to 0.0007 in an average time span of approx. 3994 observations per security; before naming names I need to run some more checks $\endgroup$ – torus12 Apr 27 '18 at 12:39
  • $\begingroup$ Thanks. I'm just curious. You don't have to go out of your way to name them on my behalf. I wouldn't mind if you did though :) $\endgroup$ – amdopt Apr 27 '18 at 12:41
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There are plenty of reasons for data giving inaccurate extremes (highs and lows) versus the open and close.

Without knowing which instrument(s) or specific dates/values, it's difficult to give anything precise.

Some possible reasons include:

  • The stock had some busted (cancelled) trades on the close and the high/low wasn't recalculated
  • The pricing convention for the stock uses a mid-point of bid-ask, except for the close (some London Stock Exchange systems report in this manner)
  • The high and low prices are only calculated throughout the trading day and are not inclusive of the Open and Close trades.
  • The close price is not actually the closing price - it is the "last" price of the day inclusive of after-market trades, but the high and low are not affected
  • Some trade types (block trades, exchange-for-physical, options exercises, late-reported trade etc.) may affect one data point (eg. high) but are not used for the close
  • A genuine data error undetected by your data source

You need to ask your data source to define, in very exact terms, what constitutes all of the data points provided. i.e. Define the methodology used to calculate each of the open, high, low, close, volume and any other fields provided.

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