Summary of Financial Data Structures

Опубликовано: 17 Май 2022
на канале: Hudson & Thames
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Special bar compression procedures are needed, especially in HFT space.
Tick/Volume/Dollar bars have better statistical properties compared to time bars.
Imbalance/Run bars are sampled more frequently when new information comes to a market.
Futures roll and ETF trick help a researcher to deal with non-perpetual securities (futures, options, ..)