Data filtering

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Risk321
Posts: 12
Joined: Thu Jun 02, 2011 12:08 pm

Data filtering

Postby Risk321 » Tue Feb 12, 2013 12:28 am

Hello Carol,
Hope you are well. I have a quick question about cleansing tick data.

There exist many methods of identifying bad ticks and then filtering them out. But how is one meant to identify the best method? For example, a common technique is to remove those ticks which fall outside of n standard deviations from the moving average. But here n could be 2,3, 4, etc and the length of the window could be the last 10, 20, 30 observations. How is one meant to identify the best choice of parameters when the "true" data is not known? What is the usual framework for deciding the filtering algorithm?

Any advice would be much appreciated.

Thank you

coalexander
Posts: 815
Joined: Sun Sep 28, 2008 10:30 pm

Re: Data filtering

Postby coalexander » Sun Mar 17, 2013 1:02 pm

This paper should answer your question well, Carol
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