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For questions dealing with market data sampled at high frequencies, such as tick data and intraday data.
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Why are we obsessed over normalizing financial data?
got an answer from one of my pals, thought it might be interesting to share it here. The reason why we often use the normal distribution is because the distribution will be stable regardless of the nu …
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2
answers
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Why are we obsessed over normalizing financial data?
I have recently began work on some high frequency financial tick data. I have been told to 'normalize' the data as much as possible and run linear regressions through them. In fact, the data doesn't s …