Attempting to profit from short-term fluctuations in a security's price as opposed to investing in the security for use or income.
1
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2answers
230 views
.NET statistical packages recommendation
What open source or commercial .NET statistical package would you guys recommend? I am doing statistical arbitrage in options. The functions I need mainly are regressions, optimizations..etc. It would ...
1
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1answer
88 views
Add transaction costs to prediction
An algorithm predicts price movement by some certainty and it invests proportional to the confidence level. Predictions range from -1 to +1, -1 meaning sell for a value of ...
1
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2answers
433 views
Evaluating forecasting algorithm
I am trying to evaluate a forecasting algorithm for stock price prediction. However, the performance of the algorithm may be very much tied to the trading strategy.
Is there a systematic way for ...
1
vote
1answer
306 views
Arbitrage between markets
I'm trying to understand how arbitrage works, but I'm having some difficulties based on some restrictions:
I have markets A, B and C.
The currencies that are traded are X <-> Y, and X <-> Z.
...
1
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0answers
537 views
Hobbyist Quants [closed]
I'm interested in investing some money in the stock market, and I have the math background that will make following the math used in quantitative finance possible (with some work). What are the ...
0
votes
3answers
1k views
What are the common trading systems for hedge fund automated trading?
Is there any common trading system that is implemented by hedge fund, especially for equity or forex automated trading? I know some big names like Sungard and Bloomberg. Is there any other choices ...
0
votes
2answers
218 views
How to use PCA for trading
Can anyone give me a few pointers of how to approach using PCA for trading? In particular, it seems to me, PCA is useful for selecting a subset of a portfolio of stocks(or other) rather than trading ...
0
votes
2answers
142 views
Interpretation of PCs
I have computed PC1 and PC2 wts on future contracts derived from cumulative log differences. How can I use them to get back the theoretical price of each contract using those 2 pcs? Thanks in ...
0
votes
1answer
150 views
Selecting timeframe for time series analysis
In technical analysis, we may use confluence of direction for 3 timeframes to roughly gauge bias of market now.
Similarly, if we use time series forecasting methods to predict(say daily data-whether ...
0
votes
1answer
728 views
basic stock trading strategies [closed]
What are some trading strategies for stocks (just stocks, no derivatives) using freely available online data sources?
0
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1answer
201 views
What would be the impact of the US Credit Rating downgrade on Crude Oil Prices? [closed]
From a modeling point of view, here are my primary assumptions for Monday:
a) I would expect the US$ to depreciate and crude oil to rise in the long term.
b) Expect crude oil to dip in the short run ...
0
votes
0answers
470 views
What is the current state of the algorithmic trading research? [closed]
Searching for 'algorithmic trading' through scholar.google.com reveals a large list of trading strategies, related on topics like the liquidity of markets, volatility modelling, volume modelling, the ...
-1
votes
1answer
136 views
High-Frequency Traders and Front Running: What order types are they using? [closed]
I often hear in the news that High-Frequency Traders can front-run incoming trades because they are faster at acquiring information and to execute trades. I also read that speed is only a necessary ...
-1
votes
1answer
298 views
Regression and its application [closed]
I am currently working on model where I am using 21 period moving regression line and RSI to gauge trading opportunity. I am more interested in enhancing this using rest of regression parameter such ...
-1
votes
1answer
856 views
Can end-to-day trading be profitable? If not, why? [closed]
Many academics argue that end-to-day trading, where you go long or short before opening and sell your security at the end of the day, is not profitable. Various explanations are given for this ...
-3
votes
0answers
79 views
Holt Winters Double Exponential Smoothing [closed]
I am looking out for Holt Winters Double Exponential Smoothing implementation using VBA Code.
I have searched everywhere but all I can observe, It comes with Excel Add-In. I am looking out for actual ...
-4
votes
0answers
82 views
Basic Trading Strategies based on mean-reversion / momentum [closed]
Can anyone give me some basic trading strategies which based on the theory of mean-reversion (like the bollinger band strategy)? Also, is there any basic trading strategy based on momentum trading? ...
