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Will share Bayesian Estimation Results - Need 6E Tick Historical Data
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Will share Bayesian Estimation Results - Need 6E Tick Historical Data

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Will share Bayesian Estimation Results - Need 6E Tick Historical Data

I am working through a Bayesian model that estimates parameters based on several explanatory variables,

Orderflow
Limit Order Skew
Price
and an Index that I built

Promising results but the only data I have is the data I collect real time directly from the data sources I use (I have three all good granularity millisecond timestamps and very close the to exchanges)

I need more data and I hate paying for data. Does anyone have 6E futures data, several years worth with Tick Granularity.

I am glad to share model results.

Thanks

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edolphin View Post
I am working through a Bayesian model that estimates parameters based on several explanatory variables,

Orderflow
Limit Order Skew
Price
and an Index that I built

Promising results but the only data I have is the data I collect real time directly from the data sources I use (I have three all good granularity millisecond timestamps and very close the to exchanges)

I need more data and I hate paying for data. Does anyone have 6E futures data, several years worth with Tick Granularity.

I am glad to share model results.

Thanks

Hi @edolphin,

Did you make any progress with Bayesian analysis? I am starting to look into Bayesian Neural Networks to get probability of confidence.

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Any update on this work ?

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