Chapter 3. The Occurrence of Gaps
This chapter examines the frequency of gaps across many dimensions. How often do gaps occur? Are gaps becoming more frequent or less frequent over time? Does index membership play a role in gap frequency? This chapter explores these questions.
Data and Software
Before getting into the answers to those questions, you need to understand the data used in writing this book. The stock data came from Norgate Investor Services, which sells a software package called Premium Data. There are two different U.S. stock price datasets available within Premium Data. Historical data can be purchased for either currently listed stocks or delisted stocks. The base package for each contains price history from 1985, but an add-on ...
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