0
votes
0answers
44 views

Explain $1Gamma vs %1 Gamma

What is $1 Gamma and what is 1% Gamma? please describe the difference? I understand Gamma but cant make the diff between the two.
0
votes
2answers
143 views

How to incorporate fundamental analysis in quantitative trading algorithm? [closed]

I want to write a quantitative stock trading program based on fundamental analysis. It would crunch through prices, financial reports to look for value stocks. It can support backtesting of strategy ...
3
votes
1answer
92 views

Optimal Executions for Minimizing Slippage

There has been a considerable body of work for finding trading strategies that minimize the slippage wrt arrival price. For instance, the following are on of the most well known papers: [1] Robert ...
0
votes
0answers
78 views

Calculating index arbitrage

I have a days-worth of level 2 market data. I am calculating S&P500 index arbitrage. I have a few questions about the calculation: 1) Should I be summing all the bids and asks from the stocks ...
0
votes
0answers
87 views

Calculating order arrival times using log-likelihood, Raphson and Jacobian matrices?

I am reading the following paper: http://www.ntuzov.com/Nik_Site/Niks_files/Research/papers/stat_arb/Ahmed_2009.pdf and in particular page 13: Now I never did a degree in maths (I did ...
3
votes
3answers
1k views

How to distinguish between different types of algorithmic trading

Algorithmic trading involves the use of algorithms to optimally execute trading instructions. Then there are algorithms which initiate trades, based on various quantitative strategies (e.g. pairs ...
-3
votes
1answer
444 views

Target daily ROI for a market-making algorithm

I'm designing a market-making algorithm, I was wondering what a decent ROI / day would be to aim for in such a system?
1
vote
2answers
689 views

Calculating true value of a stock given the order-book and recent trades

I'm trying to calculate the 'true value' of a stock listed on an exchange. I have access to the limit order-book (containing all bid/ask quotes) and also all trades which have taken place (which ...