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Results tagged with high-frequency
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user 909
For questions dealing with market data sampled at high frequencies, such as tick data and intraday data.
14
votes
2
answers
11k
views
How to annualize intra-day volatility on minute data?
I am trying to convert minute based volatility into annualized volatility in such a way that both are comparable. $Vol_{min} * \sqrt(t)$ does not seam to get them into the same scale if I annualize us …
4
votes
What is a good broker for HFT?
For retail solution IB is pretty good. There are some discussions about many broker in Elite Trader. Lime brokerage (ex Tower Res. Cap., now associated with wedbush) seam to be putting together a good …
3
votes
How to account for jumps in intraday data when calculating beta?
In addition to the above I can suggest:
ignore data point if returns are more than a certain threshold (2 s.d.)
calculate at different sampling intervals and choose most stable beta with the best si …