PythonQuant
Exploring Alternative Price Bars
Post Outline * Introduction * Links * Embedded Notebook Introduction This post explores a concept at the heart of quantitative financial research. Most qfin researchers utilize statistical techniques that require varying degrees of stationarity. As many of you are aware financial time series violate pretty much all the rules of stationarity and yet many researchers, including me, have applied or will apply techniques when not appropriate thereby calling into question many of the resulting
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