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3

Being very fast within a single datacenter is not as valuable as having the fastest line between two datacenters. So being able to write a very fast program wouldn't be the holy grail of trading anyway (it would be to instantaneously transport information between e.g. NJ and Chicago using quantum entanglement or something.) That said, if you found an ...


-5

This strategy works very well in the equities markets but it's absolutely critical that you are able to add and cancel orders in under 10 microseconds: I've found that you usually get excellent results if you join the best bid and offer simultaneously, starting with a size of 47 and then very quickly canceling your order and increasing your size in a prime ...


2

Many of the strategies are motivated by objective functions (contour integrals) in the complex plane and the elements of complex linear spaces, so I'd recommend at least for an applied understanding: Saff, E. B., and Snider, A. D. Fundamentals of Complex Analysis with Applications to Engineering, Science and Mathematics. In addition to Saff and Snider, I ...


0

I do not agree with nicolas. I think that spot volatility is represented by the front month expiry options while future volatility is represented by e.g. VIX and VSTOXX which are inherently based on a mix with options in further expiries. Please also see the interview in the The Trader Derivatives: "...because they (Volatility futures like VIX) represent ...


3

You work in discrete time so you should not fit an OU-process but simply an AR(1) process which is its analogon in discrete time. Look here to see why this is true. Calibrating the AR(1) boils down to do a regression on your residuals.



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