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Tag Archives: asynchronous data
Asynchrony in market data
Be careful if you have global daily data. The issue Markets around the world are open at different times. November 21 for the Tokyo stock market is different from November 21 for the London stock market. The New York stock market has yet a different November 21. The effect The major effect is that correlations … Continue reading
Posted in Quant finance, R language
Tagged asynchronous data, asynchrony, multivariate moving average
3 Comments