These codes resample high frequency financial data using a large variety of published approaches.
Currently, these techniques are implemented:
- Calendar Time Sampling (CTS)
- Transaction Time Sampling (TrTS)
- Tick Time Sampling (TTS)
- Duration Adjustment Sampling (DA)
- Time Transformation Sampling (TT)
- Business Time Sampling (BTS)
- A smoothed Business Time Sampling variant (sBTS)
- Weighted Standard Deviation Sampling (WSD)
The names in brackets refer to the variables in the process_data.py file. For references to these approaches see the comments within the code.