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- Wed Feb 29, 2012 9:57 am
- Forum: Data Manipulation
- Topic: Converting irregular to regular frequency
- Replies: 1
- Views: 2475
Converting irregular to regular frequency
Hi, hopefully this is the correct subforum for my question. I have irregular high-frequency data on stock prices (i.e. time of each observation is the second each trade has happened, relevant variables DATE, TIME, PRICE). I want to calculate returns e.g. for each half-hour period and use models with...