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Repeat exercise 5, this time applying Amihud's lambda. Are results consistent? exercise 5 Compute Kyle's lambda from: (a) tick data. (b) a time series of
Repeat exercise 5, this time applying Amihud's lambda. Are results consistent? exercise 5 Compute Kyle's lambda from: (a) tick data. (b) a time series of dollar bars on E-mini S&P 500 futures, where (i) bt is the volume-weighted average of the trade signs. (ii) Vt is the sum of the volumes in that bar. (ii) Ap, is the change in price between two consecutive bars. Repeat exercise 5, this time applying Amihud's lambda. Are results consistent? exercise 5 Compute Kyle's lambda from: (a) tick data. (b) a time series of dollar bars on E-mini S&P 500 futures, where (i) bt is the volume-weighted average of the trade signs. (ii) Vt is the sum of the volumes in that bar. (ii) Ap, is the change in price between two consecutive bars
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