Hi all,
Hope you are all well.
I am sorry to bother you - as a newbie in R&Finance, I have learned a lot
from you guys.
My question is about high frequency quote data cleaning and overnight jumps.
As we know, there might be gaps due to overnight market closure. In the
meanwhile, there are lots of errorneous quotes
in high frequency data, especially around market close on the prior day and
market open on the current day.
This impacts the data-cleaning around the market close and market open.
Suppose in data-cleaning, we see a lot of jumps(gaps) from market close on
the prior day to market open on the current day,
is that due to errorneous quote data, or it is real market gap?
How do the experts in high frequency and R&Finance communities usually
handle this?
Thanks so much!
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