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b. Damaged data because of system failure
4. Bad market data
a. Bad data caused from processes inherent to trading. For example trade
cancelled, replaced or corrected. These data are not relevant for analysis
b. Data from multiple markets where the same security been
5. The cause of a particular data error is often not known RISK AND PORTFOLIO MANAGEMENT WITH ECONOMETRICS, VER. 11/11/2012. © P. KOLM. 3 Example Decimal error: a quote $54.35 is reported at $54.53. How ca...
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This document was uploaded on 02/17/2014 for the course COURANT G63.2751.0 at NYU.
- Fall '14