Tick Data Modelling
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For those who have reached out to me with offers for lifetime substack/thinkific and already made agreements - do remember to complete the transactions during the discounted period.
See link:
Since our post on the open-research standard and market maker script:
We have added examples on how we can use the script to seamlessly perform tick data modelling, fairprice analysis and run regressions.
Preview:
In this post - we use quantpylib’s tick data replayer to assess the impact of orderbook pressure depth on high frequency returns:
https://hangukquant.github.io/scripts/market_making/#modelling