Originally Posted by
acepsut
4) LEV SEV separation: I am using the equi power method as describe at page 54. The method is clear to me but still I have some doubt about how use the data to be anylized.
Should I use an incremental data method or a moving window data?
In order to be more clear, let's suppose I would like to perform an analysis on 1 day (1 minute data). Italian market open @ 0900 and close @ 1725 with 5 min extension for close fixing @ 1730. Live data ranges from 0900 up to 1725, that's 505 minutes per day since market stop any trading activities @ 17.25:00
Having set = 0 the first trading minute (0900), do I have to take all these 505 1 min data and compute the LEV SEV separation or do I have to use a moving window (in example, x data such as 100 or 200 1 min data) in which add the next data and remove the first one?
Page 214 describe the use of a moving window for the positive and negative EV, so I am a little confused for the approach to use.
What if we would analyze more data, in example, 3 or more consecutive days? Should I have to separate LEV SEV based on the whole three 1 minute days?
Do I have to set = 0 any of the three 0900 min or do I have to start a new separation for any day? If so, I should have a gap between last day value and the next day.