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. …
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