Re: The Imputation Problem

I wonder, how have some of you dealt with multiple data streams, and how to match them up, either through truncation, imputation, or some other means.

interpolate ?

Interpolation can help with missing values, but I'm not sure what it has to do with combining multiple inputs streams.

sorry if im probably missing something obv but if i had multiple data streams (say 3 exchanges) with different sample rates or missing values or whatever, i would interpolate each data stream to a common timeseries and then combine (average) the data. and would probably weight the inputs by volume