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Questions tagged [high-frequency-data]

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futures roll - how is it applied to intraday data, e.g. minute level?

I have read many different approaches in rolling and adjusting futures contract to build a continuous time series. However, all of the examples I have seen are on daily data. While that is relatively ...
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In what "time" should we work in when handling high frequency data with latency?

I am wanting to know if there is any standard approach for the following situation: We receive trade and order book data over a connection from an exchange and are interested in downsampling this into ...
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S&P 500 historic high frequency data

I am trying to reproduce the analysis discussed in https://arxiv.org/pdf/cond-mat/9905305.pdf where they use high-frequency data (1minute thick) of S&P500 from 1984 to 1996. In particular, I want ...
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Normalise 5hr, 10hr, weekly, monthly returns using 1hr time bar

I have a question on normalisation of returns when working with high frequency bars, such as 10mins, 30mins or 1hr. Suppose I have a time series of 1hr bars. I'd like to compute 5hr, daily, weekly, ...
tinyneko's user avatar