Michael <comtech.usa at gmail.com>
In fact, I have the whole jump processes of best bid, and best ask, at a continuous level (in the sense of time-stamped arrival data), and also the jump process of the last trade price, at a continuous level (in the sense of time-stamped arrival data). Any more thoughts?
Thoughts: 1) Confine R-Sig-Fin posts to... R-Sig-Fin questions 2) Supply a real name (first, last)... this isn't elitetrader.com 3) Read a book or books on the topic 4) Have a beer with a quant from one of the brand-name shops HTH, Steve