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Missing Data

Tick Data Storage, Treatment (NaNs, Spikes, Missing Data) for Quant Analysis

Tick Data Storage, Treatment (NaNs, Spikes, Missing Data) for Quant Analysis Anyone out here use MATLAB and kdb+ for investigating algo-trading? I’d like some tips about treating tick data. What are the dangers of downsampling, smoothing and handling missing data, are there any — I have done a lot of work in tick level analysis. …

Tick Data Storage, Treatment (NaNs, Spikes, Missing Data) for Quant Analysis Read More »

Tick Data Storage, Treatment (NaNs, Spikes, Missing Data) for Quant Development and Analysis

Tick Data Storage, Treatment (NaNs, Spikes, Missing Data) for Quant Development and Analysis Anyone out here use MATLAB and kdb+ for investigating algo-trading? I’d like some tips about treating tick data. What are the dangers of downsampling, smoothing and handling missing data, are there any best practices to follow? I have done a lot of …

Tick Data Storage, Treatment (NaNs, Spikes, Missing Data) for Quant Development and Analysis Read More »

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