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Quantitative Finance · Glossary

What is Midquote series?

Definition 2.4 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapter 2 — Market Data for Research

A midquote series is the mid price 12(bt+at)\tfrac12(b_t + a_t) sampled at chosen times, each value the last mid at or before the sampling time (an as-of sample).

Signature plot of the simulated day: realised variance of log returns against the sampling interval, from trade prices and from midquotes. At one second, 0.83 against 0.23; from about a minute on the two agree, and the noise of a single day’s estimate dominates. Data: firm.tape, the chapter’s day, seeded.
Figure 2.3. Signature plot of the simulated day: realised variance of log returns against the sampling interval, from trade prices and from midquotes. At one second, 0.83 against 0.23; from about a minute on the two agree, and the noise of a single day’s estimate dominates. Data: firm.tape, the chapter’s day, seeded.
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