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Ernest Chan - Beware of Low Frequency Data

Very important reminder of the phantom profitability of a class of strategies when using trade data, not bid/ask data!

http://epchan.blogspot.ca/2016/09/really-beware-of-low-frequency-data.html

4 responses

Not to be too ignorant, but how do you get bid/ask data on Q?

You cannot.

Thank you. I though maybe I missed something while I was in jail.