Replies to This Discussion

Permalink Reply by John A Morrison on August 3, 2011 at 12:41pm

volumes are Tiny right now, its not ONLY about the holidays too, its strategic low volume

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Permalink Reply by Vincent Granville on August 3, 2011 at 2:01pm

I suspect that Yahoo Finance data is corrupt.

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Permalink Reply by Vincent Granville on August 4, 2011 at 9:06am

Nobody seems to notice. It coincides with the beginning of the steepest decline in stock prices since the panic meltdown in early 2009.

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Permalink Reply by Ralph Winters on August 9, 2011 at 8:41am

If you look at the DJIA charts at another source (MSN) for July 25, it doesn't have the spike.

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Permalink Reply by Vincent Granville on August 9, 2011 at 2:41pm

Yes, such a severe outlier has to be a data glitch, not a real volume burst. I'm wondering how many trading algorithms (relying on this Yahoo data source) were impacted by the data error. Sure most algorithms must have an outlier detection mechanism, and most do not use this data source anyway, but it's an interesting question:

In general, what's the impact of wrong data on trading strategies? Can you design algorithms that are very robust against small data glitches?

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