1. On a series of E-mini S&P 500 futures tick data, compute dollar bars and dollar imbalance…

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1. On a series of E-mini S&P 500 futures tick data, compute dollar bars and dollar imbalance bars. What bar type exhibits greater serial correlation? Why?

2. On dollar bar series of E-mini S&P 500 futures and Euro  50 futures:

(a) Apply Section 2.4.2 to compute the {𝜔

(b) Derive the time series of the S&P 500/Euro  50 spread.

(c) Confirm that the series is stationary, with an ADF test.

 

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