What you will learn
- Returns and volatility
- Spread and liquidity
- Outliers
- Missing tick coverage
Returns and volatility
Returns require a defined price stream and timestamps. Use quotes or trades appropriate to the question and distinguish observed returns from executable strategy P&L. A midpoint movement is not necessarily a tradable round trip.
Spread and liquidity
Measure spread and liquidity changes where available. An event with a large price response can still be difficult to trade because costs and fills deteriorate. Price response and implementation feasibility are separate results.
Outliers
Outliers should be investigated and reported. An extreme response may be genuine, a data error or a timestamp problem. Do not automatically delete it or assume it represents a repeatable typical event.
Missing tick coverage
Missing tick coverage can bias the measured first reaction and extremes. State whether the data can support the requested horizon. A coarse bar cannot be used to claim millisecond timing or a precise first executable price.
Worked example
A dataset contains only one-minute bars, but the report claims the price moved within 200 milliseconds of release. The data resolution cannot substantiate that timing statement.
Try it yourself
Rewrite the claim at the resolution supported by the data and list what additional data would be needed for the finer claim.
Show the worked solution
Describe the observed one-minute interval and its limitations. Millisecond claims require appropriately timestamped higher-resolution observations, synchronized clocks and a reliable release time.
Apply this to your course project
Submit a preregistered event-study protocol and a reproducible worked sample.
Keep the calculation inputs, assumptions and decisions with your work. Practical exercises are self-reviewed; the scored knowledge checks assess the questions shown, not an independent certification of practical competence.