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I would like to know if there are some tools that can measure that one time series is "faster" than the second one. I talk about really similar time series related to high frequency trading (hundreds of thousands of observation per day).

Everything that is connected with that topic (theoretically and practically) will be perfect for me.

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  • $\begingroup$ Yes, add the running volumes or look at the trailing window volumes. $\endgroup$ – Dave Harris Apr 29 at 22:58

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