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gugushvili committed May 15, 2018
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"source": [
"# Real data example\n",
"\n",
"As first example, we apply our methodology to infer volatility of the high frequency foreign exchange rate data made available by Pepperstone Limited, the London based forex broker (https://pepperstone.com/uk/client-resources/historical-tick-data). Specifically, we use the EUR/USD tick data (bid prices) for 2 March 2015. We obtain, log-transform and subsample the data and express time in milliseconds."
"As a first example, we apply our methodology to infer volatility of the high frequency foreign exchange rate data made available by Pepperstone Limited, the London based forex broker (https://pepperstone.com/uk/client-resources/historical-tick-data). Specifically, we use the EUR/USD tick data (bid prices) for 2 March 2015. We obtain, log-transform and subsample the data and express time in milliseconds."
]
},
{
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