1 On A Series Of E Mini S P 500 Futures Tick Data Compute Dollar Bars And Dollar Imb 2664286
1. On a series of E-mini S&P 500 futures tick data, compute dollar bars and dollar imbalance bars. What bar type exhibits greater serial correlation? Why? 2. On dollar bar series of E-mini S&P 500 futures and Euro 50 futures: (a) Apply Section 2.4.2 to compute the {𝜔 (b) Derive the time series of the […]