Rare Events Analysis for High-Frequency Equity Data
نویسندگان
چکیده
منابع مشابه
Rare Events Analysis for High-Frequency Equity Data
In this work we present a methodology to detect rare events which are defined as large price movement relative to the volume traded. We analyze the behavior of equity after the detection of these rare events. We provide methods to calibrate trading rules based on the detection of these events and we exemplify for a particular trading rule. We apply the methodology to tick data for thousands of ...
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ژورنال
عنوان ژورنال: Wilmott
سال: 2011
ISSN: 1540-6962
DOI: 10.1002/wilm.10016