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

learn more… | top users | synonyms

12
votes
6answers
12k views

What open source trading platform are available

I would like to compile a list of open source trading platforms. Something that would give an overview and comparison of different architectures and approaches.
0
votes
0answers
43 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 ...
3
votes
2answers
87 views

Longer term average probabilities of fills at fx ECNs?

I am wondering whether anyone can share experiences and longer term average probabilities of fills when quoting inside the spread at various fx ECNs. I need to make an assumption of the probability of ...
0
votes
1answer
68 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 ...
5
votes
1answer
537 views

How to calculate the JdK RS-Ratio

Anyone have a clue how to calculate the JdK RS-Ratio? Let's say I want to compare the Relative strength for these: EWA iShares MSCI Australia Index Fund EWC iShares MSCI Canada Index Fund EWD ...
4
votes
1answer
178 views

Up and Down days in GBPUSD and a Filter

I want to study if the odds of an up or down day in a forex pairs is 50-50. I just count the total number of up and down days in X years and compare it with the total days. The results are very ...
0
votes
0answers
29 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 ...
4
votes
3answers
1k views

How to implement a long-term trade on oil?

I believe that one of the most compelling case of long-term trade is the long position on oil. Fundamentally, it seems quite clear that demands is going to grow in the future as emerging markets start ...
0
votes
0answers
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 ...
0
votes
2answers
593 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 ...
8
votes
3answers
269 views

Why is there a stong intraday-correlation between spot and vol?

Fig.1 shows an intraday scatterplot of the DAX future against its volatility index VDAX on 6-Jan-2016. The data suggest a strong negative correlation between the two. There are various models ...
2
votes
4answers
777 views

Backtesting with Simulated Historical Data?

The trading strategies that are going to backtest well are the ones that pick the winners from the past. For example, if a trading strategy simply bought apple stock it would backtest extremely well. ...
8
votes
2answers
1k views

What is “high frequency quoting” or “quote spam”?

What is called "high frequency quoting" or "quote spam" in the context of high frequency trading? Why do some people consider that as a problem for the market?
1
vote
1answer
50 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 ...
1
vote
1answer
138 views

Trading Interview Question (Bullish, Bearish)?

I recently had a trading interview, and they asked this question. However, I had no idea how to answer it, and I was wondering if you could help me undersatnd it. Say you have a set of returns ...
1
vote
0answers
67 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 ...
1
vote
0answers
88 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 ...
2
votes
0answers
26 views

How does risk attitude influence trading? (Bibliography seeking)

I wonder how risk-averse or risk-seeking investors behave in a stock market. Is there any bibliography that deals with that? For example, suppose that we have a risk-averse investor that buys a ...
1
vote
0answers
40 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 ...
1
vote
0answers
59 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 ...
2
votes
0answers
36 views

Which is best chart for intraday trading & how to use it? [closed]

I have new learner & want to make trading as my full time work. I read some articles on charts, that helps to buy or sell shares. Pls tell me, how to read charts & buy or sell shares using ...
1
vote
0answers
35 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 ...
2
votes
3answers
1k views

How to trade volatility?

I am analyzing the volatility of financial stock returns and let's say I have a pretty good model to forecast tomorrows volatility of the stock returns. So let's say for simplicity reasons I have a ...
2
votes
1answer
35 views

Futures Holiday Schedule

I am trying to find a place where I can get S&P Emini contract trading days. I would like to get the contract first appearance (September 9th 1997) until today. I can get Holidays but nothing ...
2
votes
1answer
296 views

What are some quantitative trading strategies used by high-frequency trading companies to make a killing on a market crash day on 24Aug2015?

http://blogs.barrons.com/focusonfunds/2015/08/24/high-frequency-trading-firms-just-made-a-killing/ Virtu Financial (VIRT), the high-speed trading firm that went public earlier this year, was one ...
7
votes
2answers
1k views

What are the most common/popular exotics in the interest rate markets these days?

By "exotic" I mean anything that is not a plain vanilla swap, swaption, cap or floor. Also any IR hybrids if appropriate. Possible examples would be: CMS and CMS spread options Multi-callable swaps ...
1
vote
0answers
37 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 ...
3
votes
1answer
161 views

Pair trading based on cointegration - equity line

I'm preparing a project at my Uni where I have to make a simple pair trading strategy using cointegration between two stocks. I'm stuck on the equity line calculation. I have prepared opening and ...
4
votes
1answer
154 views

Self-Frontrunning Arbitrage

If I have a large order to fill, shouldn't I always buy a derivative in the same direction to profit from the market impact? E.g. I sell 1 million shares and so I buy a put, which will hence almost ...
0
votes
3answers
70 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 ...
6
votes
2answers
235 views

Is there any research on pyramiding techniques of entering/exiting a trend?

I am looking for any research about optimal strategies for gradually building (scaling in) positions inside a trend as well as optimal gradual exit strategies on pullbacks/reversals to minimise ...
10
votes
3answers
2k views

How to simulate slippage

I'm backtesting a trading strategy, using free OHLC data from yahoo or google. I'm simulating friction by lopping a flat percentage (say 0.5%) off my returns for each day that I make a trade. Whats ...
6
votes
4answers
507 views

If I have found a way to predict stocks trend with 58% accuracy, is it good?

Say I have found a way through technical analysis to predict how stocks would behave with 58% accuracy, how good is this percentage?
0
votes
2answers
143 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 ...
0
votes
0answers
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 ...
1
vote
1answer
182 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 ...
0
votes
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 ...
1
vote
0answers
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 ...
1
vote
0answers
67 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: ...
2
votes
4answers
211 views

How to short an option?

It appears to me that retail investors can only buy calls and puts, but not short them through any standardized way (except maybe borrowing the option from a friend ;) ). Is that correct, or how can ...
5
votes
2answers
246 views

Impact on bid/offer due to volume/size of trades placed

When observing bid/offer in the market I came across a question. How much trading a bond would impact its spread for subsequent trades ie. what is the impact on bid/offer due to volume/size of ...
1
vote
2answers
146 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 ...
7
votes
3answers
676 views

Application of Control Theory in Quantitative Finance

I have recently completed an MSc in Control Systems from a top university. It seems to me that control theory must have an application within quantitative finance. I would like to apply my degree ...
3
votes
1answer
458 views

How trading in currency pair works, underlying techniques and mechanisms

I am somewhat experienced in Forex trading, but I have a question which has bothered me for quite some time. If we for instance go back in time four months, to before the beginning of value loss the ...
0
votes
0answers
38 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). ...
1
vote
0answers
26 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 ...
3
votes
0answers
176 views

Discrete Trading to reduce speculation

I recently read a paper by Terje Lensberg (2014) "Costs and benefits of financial regulation: Short-selling bans and transaction taxes" where he analyzed the effects of financial regulation (short ...
7
votes
1answer
557 views

Do intraday volume and volatility share the same properties?

volatility clustering and mean reversion are very well known properties that one could use when trading. Traders, especially in options world, do take realized vol into account (e.g. by forecasting it ...
2
votes
0answers
102 views

forecasting trading costs with end of day data

I am trying to create a model that forecasts trading costs (using end of day data, so no intra day data). My trading cost (also called Implemented Shortfall (IS) is defined as such for a single stock, ...
4
votes
3answers
195 views

Technical analysis - Calculating Aroon Indicator Serie

I'm trying to build a class to create Aroon series. But it seems I don't understand the steps well. I'm not sure about what purpose I have to use the period parameter. Here is my first attempt: ...