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8

In the academic literature it is extremely widely applied in the last 20 years. I would estimate maybe 200 empirical papers, or more. For example a common finding is that higher frequency (daily) wavelet correlations have been high since 2007, attributable either to increasing financial interation or the financial crisis. It is also popular to estimate the ...


4

Consider this schematic of the bid-ask spread. Now think about a trade happening somewhere on the horizontal line. When would you say it's inside or outside? How can a trade be in the outside area?


1

Kraken implements an order book mechanism to match buyers and sellers. You would need to dig into more details to know exactly what order was placed by the aggressor in this case (market order ? Limit order ?) as well as the people who got filled but to make it simple let’s assume the seller placed a market order and all the buyers at 0.3545 and below ...


1

If you define the mid price as the average of the best bid and best ask price the answer is no. If there are bids for 10 lots @ 10.00 and asks for 10 lots @ 10.10 markets orders smaller than 10 lots will not affect the mid price. The mid is 10.05 before and after. This also implies that no trade is necessary to change the price. If the best bid or ask ...


1

I'm ot sure if it's the answer you're looking for but one commonly used method in practice is to simply take a long term average of the unemployment rate. The long term in this context means a period which covers exactly a full business cycle (either peak to peak or trough to trough). FYI. US business cycle dates can be found here (http://www.nber.org/...


1

Interactive Brokers provides it as a field called count. In this page of the IB API Reference Guide count is described as follows When TRADES historical data is returned, represents the number of trades that occurred during the time period the bar covers.


1

Its not available for free anywhere that I know of. Your only option is to purchase tick data for the instruments you're interested in and then count the ticks per trading session (or whichever timeframe you want to use). EDIT: This link might be interesting for you regarding how to get market data. http://www.quantshare.com/sa-426-6-ways-to-download-free-...


1

Checkout spectro.space - A CryptoCoin Analyzer with Spectrograms. I just launched it, and it's is a free web-based graphing tool that allows you to view over 2000 different cryptocurrencies, and a lot more coin-pairs. The semi-novel thing about spectro.space is the spectrogram graphs. I've been able to determine the onset of large price movements, both up ...


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