I try to model the price change of a stock using the daily trades. I have 3-months of daily trades data of an exchange. I want to create a single data set using this data by combining each days' data. In this case, Day1's last trade and Day2's first trade become consecutive trades in the data file, and the trade prices may differ significantly since they are different days' trades. And I'm concerned that this may affect my modeling.
Do you think this is a valid concern? And what can I do to overcome this?

  • $\begingroup$ So you have trades/transactions from the exchange, and what you describe is partially due to open/close auctions at the exchange. What is your end goal, i.e. what are you trying to model? $\endgroup$ – Pontus Hultkrantz Dec 9 '20 at 21:57

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