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Nimbus3000
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Posts: 37
Joined: February 13th, 2013, 8:10 pm

Statistical Test for tick data

January 9th, 2017, 5:37 am

Hello Everyone,

I am working with tick-data on some of the more liquid futures and options which gets millions of ticks every single day. Can I use the normal statistical techniques (like correlation, regression, cointegration, etc) for analysis of tick data? I'm trying to a granger causality test to be precise. 
If not, can someone please suggest some other techniques which help me do these things?

Regards
 
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outrun
Posts: 4573
Joined: January 1st, 1970, 12:00 am

Re: Statistical Test for tick data

January 9th, 2017, 7:20 am

It's best you'll study the assumptions of the tests you want to apply. Some test (a handy keywords is "non-parametric") don't have any distribution assumptions and those you can apply very generically, others tests assume normality and those will have biases.

You can also study causality tests -which is different from correlation-, and also look into "market micro structure models".

Tick data has discrete movements and there is friction on the bid and ask that make it bounce between them a lot. I would start by postulating some simple micro market models that describe the stochastic behavior of ticks and which have parameters for the causal relations your interested in, and then calibrate that model to the data and test how well the model fits.
 
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list1
Posts: 827
Joined: July 22nd, 2015, 2:12 pm

Re: Statistical Test for tick data

January 9th, 2017, 7:23 am

Hello Everyone,

I am working with tick-data on some of the more liquid futures and options which gets millions of ticks every single day. Can I use the normal statistical techniques (like correlation, regression, cointegration, etc) for analysis of tick data? I'm trying to a granger causality test to be precise. 
If not, can someone please suggest some other techniques which help me do these things?

Regards
If you have a data then there exists tests [$]\chi^2[$] for example to verify a known distribution including normal too. 
outrun outlined the problem approaches
 
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Nimbus3000
Topic Author
Posts: 37
Joined: February 13th, 2013, 8:10 pm

Re: Statistical Test for tick data

January 13th, 2017, 8:30 am

Thanks a lot gentlemen.