Would there be a legal problem with implementing the filtering system described in Introduction to High Frequency Finance (Olsen Associates) in an academic environment? Or is it covered fully or partly by patents?And, while I'm at it, are there other filtering techniques out there that would be even better for tick data? (I'm referring to outliers et.c., as in the recent Wilmott Magazine article)

not citing either favorably or unfavorably, but for what it's worth, a sort of layman's discussion:http://www.tickdata.com/EquityScrubbing.html http://www.tickdata.com/FilteringWhitePaper.pdf

Good luck to reproduce their entire model, some parts are not fully divulged in their book (vega-time among others)! If you were able to get the full model, that would probably mean that you have had access to privileged information and could indeed be a problem, I guess...

QuoteOriginally posted by: TomfrGood luck to reproduce their entire model, some parts are not fully divulged in their book (vega-time among others)! If you were able to get the full model, that would probably mean that you have had access to privileged information and could indeed be a problem, I guess...Judging from what I have implemented so far it's looks like it's possible to get a fairly good, albeit slightly limited, filter using only public information (i.e. the book). I wouldn't mind releasing what I have written as open source when I've had the chance to clean it up. Let me know if anyone's interested (or if you have a reason to belive that I would get into legal problems doing that!).

Hi linustI am interested by your code if you do not mind!!!I am trying to do a filter to clean my data, and I have some difficulties to decide either to delete or to correct the wrong quote ..Moreover do you take in concideration the theta time ( defined by Dacorogna) in your filter or not?The type of error I need to clean are:the decimal errorthe repeated quotethe monotonic seriesand the outlierIs your filter resolve these problems?Thanks linustWheeb

hii'd be interested in the code as well if it's possiblethks a lot

I am interested in the codes too! Thanks a lot!