How long does it take to prepare a tick analysis? - briefly
Preparation usually requires a few hours for small data sets and up to several days for extensive, high‑frequency data. The exact duration depends on data volume, required preprocessing, and analysis complexity.
How long does it take to prepare a tick analysis? - in detail
The time required to complete a tick analysis depends on data volume, complexity of the model, computational resources, and the depth of validation.
A typical workflow consists of the following stages:
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Data acquisition and cleaning – gathering price series, adjusting for corporate actions, and removing outliers.
Small datasets (daily prices for a single instrument): 1–2 hours.
Large datasets (multiple instruments, high‑frequency data): 4–8 hours. -
Parameter estimation – calculating tick size, volatility, and other statistical measures.
Simple calculations on modest data: 30 minutes to 1 hour.
Advanced estimators (e.g., GARCH, stochastic volatility) on extensive data: 2–4 hours. -
Model building – constructing the tick‑based price model, calibrating it to the estimated parameters.
Basic linear or Poisson models: 1–2 hours.
Complex non‑linear or multi‑factor models: 3–6 hours. -
Back‑testing and validation – running simulations, comparing model outputs with historical ticks, and performing statistical tests.
Limited back‑test (few thousand ticks): 1–2 hours.
Comprehensive back‑test (millions of ticks, multiple scenarios): 6–12 hours. -
Documentation and reporting – summarizing methodology, results, and assumptions.
Standard report: 1–2 hours.
Detailed technical dossier: 3–5 hours.
Overall, a straightforward tick analysis for a single asset can be finished within a single workday (approximately 8 hours). More elaborate projects involving numerous assets, high‑frequency data, or sophisticated models may require several days, often ranging from 2 to 5 working days. Adjustments to any stage—such as additional data cleaning or extended validation—directly extend the total duration.