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Summary of Financial Data Structures

URL
https://www.youtube.com/watch?v=n_TRa6hIF0Q
Views
64
Description
Learn more: www.mlfinlab.com * 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, ..)
Rating
5
Name
Hudson & Thames
Date
2022/05/17
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