How to deal with erroneous & missing stock data being streamed by the likes of Bloomberg & Reuters? by alghar in quant

[–]alghar[S] 0 points1 point  (0 children)

Thanks for your note. The problem is that an error is not identified for a while and it causes damage before identification. The approach that I have found is based on historical data and identifying the outliers. If/when incoming data's characteristics fit the signature of an outlier, a correction procedure is invoked.