Attempting to profit from short-term fluctuations in a security's price as opposed to investing in the security for use or income.

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1answer
90 views

Data on margin volumes?

I came across a Financial Times article today that said "Peaks in margin trading have been a precursor to bear runs in the past, notably in March 2000 and July 2007." I'm curious if anyone here would ...
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2answers
123 views

Is the purchase of a stock publicly accessible?

If an investor bought a stock, could another private party access that information anywhere? Does the SEC/exchange itself create a real time/ historical record of who holds what stocks, and is that ...
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2answers
1k views

HFT enhancements for FIX (Simple Binary Encoding) vs proprietary protocols performance and cost

I would like to know from those that have used FIX (with Simple Binary Encoding) for HFT compares with the current (proprietary) protocols in use that often vary per counterparty. Interested in ...
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1answer
107 views

How necessary is real analysis and complex analysis for trading at hedge fund levels?

As the title states, I am basically wanting to know the applications of real/complex analysis in finance. How important are such high levels of math ? I can obviously see how things such as ...
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1answer
72 views

Should a strategy backtested against three years of tick data continue to produce positive results?

Let's say we have a Binary Options 5-minute trading strategy that relies on multiple indicators and exploits price reversals in currency pairs. Now let's say there is a combination of inputs for the ...
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1answer
143 views

Can you explain me these comments on high frequency data?

I was reading some slides on high frequency data and i came across these statements: data discreetness induces high degree of kurtosis and Non synchronous trading and risk premium are ...
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2answers
271 views

Brokers offering low-cost / free accounts [closed]

I'm attempting a "hello world" of live algorithmic trading. A script that pulls in tick data, presents it visually, and allows me to buy / sell at the press of a button. Also a toggle between { fake ...
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1answer
244 views

Why use leverage when it does not improve the risk/reward ratio? [closed]

Leverage will increase gains when things go right but will also increase losses when things go wrong. Mathematically speaking, it does not change the risk/reward ratio (or does it?). Since ...
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1answer
105 views

Trading Elasticity Research

Is there any good research on the price elasticity of trading in financial markets? Things like optimal fee structures and the like?
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1answer
176 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 ...
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1answer
82 views

Market Timing Performance for a single stock

It seems there are models that study the market timing ability of funds. Models such as the Treynor-Mazuy and Merton-Henriksson. One can also study the bull beta and compare it to a bear beta. My ...
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1answer
55 views

End-of-day holdings vs overnight inventory

I am wondering whether these two terms identify the same thing: overnight inventory end-of-day holdings The way I would explain it intuitively, the inventory that is held overnight should be ...
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1answer
173 views

what is considered material information? [closed]

I'm trying to understand what is considered "material" information held by an executive of a company. There is company information that an executive (say insider) will know that a public investor will ...
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1answer
192 views

Penny jumping in the direction of the price

Reading through examples of legal front running, I'm struggling to understand how "penny jumping" (http://www.wikinvest.com/wiki/Front-running) can be profitable. Suppose stock ABC is trading at a ...
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1answer
507 views

IB with R which package?

I want to implement my models in R and trade according to them with my IB account. Now I am wondering, how I should solve this problem? Do I need to program with C an access ...
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2answers
578 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 ...
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1answer
567 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. ...
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27 views

Performance measure

Can anyone give some intuition behind the relative performance measure that is a percentile raking of trading activity. It indicates the percentage of total activity the investor outperformed the ...
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2answers
166 views

Who Uses American Options?

...in other words, why would a person want to have the right to exercise an option early? What advantage does that really give you? Are Euro-style options not good enough for some people? Who are ...
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0answers
73 views

Match different option high frequency databases

I downloaded the “E-mini S&P 500 (Dollar) Options for 1/10/11” Top-of-Book (BBO) data. If you are interested you may download the data from the following link (approx. 80MB zipped and 1GB ...
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0answers
111 views

Application of time series analysis to Bitcoin prices

Various exchanges allow for the trading of Bitcoins. The price of Bitcoin was very volatile since the inception of the system, today it is 391.76 USD: I wonder whether time series analysis tools ...
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0answers
45 views

What time do bond traders come into office in morning in New York? [closed]

When I worked on bond desk in we need to be there 8am est. Is this typical ? Seems late to me as some markets open 8am like the Canada bond futures. Treasuries futures open 820am. I work at hedge ...
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0answers
71 views

What are the best online platforms to hire a quant? [closed]

I have already written the base of a trading algorithm, however there are some optimisations that I would like to add that might be best programmed by more experienced quantitative programmers. This ...
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0answers
40 views

What is the minimum price change required for a trading position increase of 1?

Suppose I have a trading system that calculates the daily risk adjusted position from the annualized risk, that is, the standard deviation of the returns of a stock over an arbitrary period of time. I ...
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40 views

Choosing Optimum Sampling Frequency

There was an interesting post made by Jonathan Kinlay where he discusses the use of a Fourier Transform to discover a potentially optimum bar frequency to choose as an input to a trading system. I am ...
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35 views

Major categories of tradable securities and the ETF's that track them?

I'm just starting to learn about quantitative finance and I'm overwhelmed by the amount of tradable securities out there. I'm seeing all these things like VXX, TLT, TMF, SPY, SPXL, HYG, VWEHX and so ...
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71 views

ISM PMI data - sector trend through ranking and seasonal decomposition

I have monthly data for each of the 18 sectors in the ISM PMI. Each datapoint shows the trend of a sector: growing, contracting or neutral. It also tells the strength of that trend with a number: ...
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30 views

Stochastic Optimal Control for ratios

Do you know any good papers on methods of Stochastic Optimal Control and Hamilton-Jacobi-Bellman(HJB) for optimization of different ratios(Sharpe, M2, Sortino, Sterling, etc.)? Meaning that using ...
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1answer
185 views

How to projectP&L or drawdowns on pair trading , trading and portfolios? [closed]

This is for planning and risk management. I am stuck on the following thoughts - Back-test the trading strategy for a period similar to the one you expect and then project. Do the above using ...
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0answers
231 views

trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be?

Background: I want to compare two trading strategies in term of profitability. The red one is an active trading strategy, which involves many entry and exit to a specific market. The blue one is a ...
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2answers
195 views

How can index futures trade 24/7 when the index doesn't change?

I have read that the E-Mini S&P 500 Futures trade 24/7, how is that possible? I mean the underlying stocks which form the index are traded from 9:30am-4pm - so outside of these hours the S&P ...
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1answer
199 views

source for yahoo finance equities volume traded

I am looking at some academic studies regarding volume of stock traded. Yahoo Finance is used as the data source for volume. Does anyone know where the volume figure comes from? Is it a compilation ...
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2answers
761 views

Orderbook Arbitrage

The order-books of trading exchanges are often hidden as so-called "Dark Pools". The measure was taken to avoid apparent market manipulation strategies executed by traders back then. Which such ...
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3answers
76 views

How can a share price be different on its open than it was on the previous close?

The changing in price of shares are down to the number of people buying or selling stock. So, if there is a large demand for a stock then the share price will increase, and if there are lots of people ...
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2answers
270 views

Can selling put equity options be a good business?

In one of his last books Jack D. Schwager suggested that selling equity puts can be a good business. The puts are like insurance policies against market downturns and there is a natural demand. ...
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209 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 ...
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3answers
89 views

What is meant by “position at a given time” in the context of a series of forex trades?

Suppose you are only talking about a single currency pair, say EUR/USD. Throughout some period of time, you engage in trades with various other parties, sometimes buying, sometimes selling. The rates ...
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1answer
631 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 ...
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2answers
197 views

Johansen test on two stocks (for pairs trading) yielding annoying results

I hope you can help me with this one. I am using cointegration to discover potential pairs trading opportunities within stocks and more precisely I am utilizing the Johansen trace test for only two ...
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4answers
98 views

How can one get broker order data?

Is there any chance to get order data from any broker with a label from which account it came from? The accounts can be anonymized, i just need to identify an account's orders sent. Any help will ...
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1answer
254 views

How important is the limit order book?

I'm trying to understand how important the limit order today for NYSE, NASDAQ, Euronext and LSE. For example, when we talk about the volume traded during the day, what share of that volume has been ...
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1answer
1k views

Gamma and delta P&L example question

I'm trying to get a basic understanding of this example delta ladder ...
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2answers
240 views

Historical data resources for Indian market

What is the best source for historical EOD data for Indian stock market? The data from Yahoo finance for some companies is not up-to-date and Google finance doesn't provide adjusted close prices. What ...
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1answer
210 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 ...
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0answers
18 views

DOL (Department of labour) API does not showing most recent results when requested instead shows unauthorized

I have recently been experimenting with backtesting swing trading FX strategies using quandl economic data and now that the time to deploy these models has arrived I have signed up for a developer ...
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0answers
39 views

Get list of all stocks ever listed on NASDAQ

I'm looking to compile a list of all stocks/symbols ever listed on the NASDAQ, not just the currently listed stocks. Alternatively, a list of all delisted stocks would also suffice. Preferably, I'm ...
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26 views

consensus on Trading Costs in Empirical Papers

Is there some consensus in the literature to model trading costs when going short/long SPX options? Like 2% trading costs to switch from short to long and vice versa plus 20% (just an example) margin ...
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31 views

short term trading does it really add value and to whom?

Short term traders who flip their stocks within 5-10 minutes, do they really add value to any one? Text book answer is yes, they help price discovery and provide liquidity. Within that 5 minutes ...
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48 views

How does a stop loss affect the P/L of a trader

In his book 'Dynamic Hedging', Nassim Taleb writes: Problem: A trader is given a stop loss of 100,000 in any given month (he would have to close his books and go home until the end of the month). ...
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132 views

Java Implied Volatility Solving with Newtons Method

Hi I am currently working on implementing my newtons method to guess implied volatility and I have the same code as you do. However, my vol result goes to infinity and I have not figured out why my ...