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high frequency tick cleaning algorithms

version 1.0.0.0 (18.5 KB) by chris zhang
tick cleaning

128 Downloads

Updated 06 Sep 2016

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% this script incorporates all the concurrent tick cleaning techniques in the modern computational finance literature for microstructure researcher.

Cite As

chris zhang (2021). high frequency tick cleaning algorithms (https://www.mathworks.com/matlabcentral/fileexchange/59011-high-frequency-tick-cleaning-algorithms), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2015b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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