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I will prefix my answer with the following: I've not read the holy wars stuff in the other answers in detail. I think its missing the point. I've implemented exactly this project more than once in small buy side firms. Your main issue is getting the data in the first place. I have a recommendation - S&P Capital IQ. You can get a deployment where you ...


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The authors explain the reason later: It is used to reduce the impact of time‐delays in the reporting of trades and quote updates. Because of the speed of light, the timestamps of data from external exchanges will have a different meaning from the timestamps of NYSE's own data. For example, a price update on NASDAQ will occur a few milliseconds before ...


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Without any other qualifications, the number for a moving average is the number of periods. In your case, it's the number of 15-minute baskets/candles. As a contrast, traders will sometimes mention a "five-day moving average" even when using 30-minute intraday baskets. I knew a market maker who insisted on EMAs using tick data. Another note: unless the "...


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it is the number of candles, it is always in reference to the candle unit you are using.


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Cant talk specifically to stock pricing models but in foreign exchange the list in order of use goes: Geometric Brownian motion with time dependent vol and drift Local Volatility, either SABR or some other parametric or cubic-spline+Dupire Heston's stochastic volatility model Stochastic-Local hybrid volatility models, usually some from of parametric local ...


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I give you a brief outline about some key properties of Lévy processes. Lévy processes have stationary and independent increments but do not necessarily have continuous sample paths. In fact, Brownian motion is the only Levy process with continuous sample paths. Some Lévy processes (e.g. Poisson process) have single, rare but large jumps (finite activity) ...


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I am going to talk regarding the Asset Management industry here in points. 1) Factor Investing and Strategic Asset Allocation: I am clubbing these two together because asset allocation now is largely influenced by factors on various levels. Factor investing isn’t as new as some fin-media might lead you to believe, Factor research has been in academia for ...


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Regarding option pricing, the topic of rough volatility (https://sites.google.com/site/roughvol/home/risks-1) could very well be found in textbooks in ten years. If it is broadly applied in practice is a question I can't answer.


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So to answer your point about ML, I would say yes, it is starting to get a foothold in finance. However, this is in the sense that it starting to be more applied in a particular context. What I mean by this is, it is being used to do old things in a new way... A particular example of this, is how ML is being used in Risk analysis and Risk Management. The ...


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