Improve The Quality Of The Data And You Are Very Likely To Improve The Quality Of The Results. What is the cleansing of Market Data?

Increasingly sophisticated methods are available for analyzing financial data and helping decision makers. But in practice the data that is used by these methods may be full of errors; it is dirty data. And it is often the more sophisticated methods that are most affected by dirty data: time series and variance models, such as GARCH, seem[…]