- Joined
- 6/18/10
- Messages
- 64
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- 18
hi all,
I mainly work with derivative pricing models. I have been asked to look at high frequency data. Are there any packages in matlab or R that I can use.
I couldn't find anything - or maybe I am being ignorant. This is my first introduction to tick by tick data and I need to clean the data before I can begin my analysis. Are there any approaches or things I should be looking out for. I must admit I got too comfortable with stochastic calculus type of modelling and never looked at tick by tick stuff so this is a first for me.
I mainly work with derivative pricing models. I have been asked to look at high frequency data. Are there any packages in matlab or R that I can use.
I couldn't find anything - or maybe I am being ignorant. This is my first introduction to tick by tick data and I need to clean the data before I can begin my analysis. Are there any approaches or things I should be looking out for. I must admit I got too comfortable with stochastic calculus type of modelling and never looked at tick by tick stuff so this is a first for me.