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The calculation of transaction costs from tick data often involves two tables: trade and nbbo. As the timestamps of both tables are at nanosecond...
For high frequency data in financial markets, each record typically holds the information of a stock at a specific timestamp. We often need to...
The formulas of 101 quantitative trading alphas used by WorldQuant were presented in the paper 101 Formulaic Alphas. However, some formulas are...
In high-frequency trading, we generate high-frequency signals from trade and quote tick data and analyze these signals to identify trading...
