I'm working on a research paper and I have some full depth tick data for several ETF's.  I need the ability to see what the exact bid/ask spread was at any given moment, so essentially I need to reconstruct the order book.  I've found a few reference papers on the subject, but they weren't very usef...

<t>Hello Everyone,I have the opportunity to get a paper published, but the reviewer is asking me to comment on the autocorrelation of the spread to shed some light on the speed of mean reversion in the spread as the market reacts to any mispricing information.Would I perform the Autocorrelation stud...

<t>I know this is a real newbie question, but could someone explain the concept of Lag to me? For example, when performing Unit Root Test there are different values for different Lags. Or when performing an AutoCorrelation test, Lags are involved.What exactly are Lags?I greatly appreciate any help. ...