the tick by tick data is sent by exchange. Could the exchange skip a few ticks?

<t>Hello,I am trying to identify state of order book when an order was executed at a certain trade price.However, I'm unable to find the trade price in the order book top of book data.The top of book data has every single tick in it, not sampled. So it appears best prices never actually reached that...

<r>I have a question on hedging eurodollar futures. If I understand correctly, the contract price for far out contract month is roughly based on the 3 month forward price on that month as seen today. So, for example, suppose today is June 25, 2007, the Sep 2008 contract trading today will roughly be...

<t>how would you estimate your order in the exchange order book? The order of order events and acks is not deterministic or guaranteed. How could you write an algo to estimate accurately your position in the order queue? Note that when we send an order to exchange, we get acknowledgement back from e...

<r>Given a cointegrated set of price series, I am trying to compute the Hasbrouck's information share, as described in page 12-13 of <URL url="http://www.jamesgoulding.com/Research_II/S&P%27s/S&P%20">http://www.jamesgoulding.com/Research_II/S&P's/S&P%20</URL>(Price%20Dynamics%20in%20...

<t>I came across an article on bloomberg. It stated that in asian growing economies, the 5 year swap rates have fallen below the 1 year swap rates indicating a forthcoming bank lending slump. I do not understand this relationship. If the 5 year swap rates are low, the cost of borrowing 5 year term l...

<r>Paper: <URL url="http://www.math.nyu.edu/faculty/avellane/AvellanedaLeeStatArb071108.pdfIn"><LINK_TEXT text="http://www.math.nyu.edu/faculty/avellan ... 1108.pdfIn">http://www.math.nyu.edu/faculty/avellane/AvellanedaLeeStatArb071108.pdfIn</LINK_TEXT></URL> the Appendix on page 46, how does he get...

Is anyone familiar with 'equilibrium martingale condition'. I have come across this term in a number of market microstructure papers I have read but still don't comprehend what it means.

Is a single asset american put/call option a path dependent option? I am confused because it does depend on the path the underlying security takes which determines its early exercise region.

What are some of the methods for projecting stock dividends? I am trying to find some information on this online but I can't.thanks,Sam

Thanks.Does this actually happen in reality? Theoretically it makes sense, but in reality do we see spreads going down with extended maturities? I am trying to find some data online but can't.

<t>I was looking at the z-spread term structure for past 50 years on Bloomberg. For investment grade bonds, rated A or higher, the z-spread increases as the time to maturity increases (as expected). However, for lower grade bonds (B or lower), the z-spread actually decreases with increasing time to ...

Some kind person please share the password via pm or email. I appreciate it.

<t>QuoteOriginally posted by: daveangelQuoteOriginally posted by: saminnyQuote If you cannot be bothered to do that you should really consider some other type of employment.Ok Ok... lolI don't think a basic interest rate swap valuation problem is that hard that it should take 2 months to learn. I've...

Quote If you cannot be bothered to do that you should really consider some other type of employment.Ok Ok... lolI don't think a basic interest rate swap valuation problem is that hard that it should take 2 months to learn. I've already understood it. Thanks for your help