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Quantitative Finance · Glossary

What is As-of join?

Definition 3.6 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapter 3 — Point-in-Time Data and the Biases

An as-of join matches each row of a left table (decision times) with the last row of a right table (observations) whose time is at or before the left row’s time, optionally within a tolerance; strictly before when the right table’s rows become known only after their stamp.

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