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Given the well-known stylised facts of equity markets, I would go for a generic stochastic volatility model where log-asset prices, hence geometric returns, are driven by a standard Brownian motion (although this would explain the lack of returns' auto-correlation, it would also boil down to assuming their independence, which is a stronger assumption). ...


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The best answer to your question: back test your ideas against historical data. If you think you can predict the market by learning past patterns prove it by testing it, not by discussion. I've done mistake few years ago and fell in love with one idea, which seemed to be like money printing machine, but instead testing it, I spent month discussing it on ...


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Look at matplotlib.finance It downloads data from yahoo finance as well but it is much quicker than the package that you are mentioning. Regarding the reliability, I think that the data source is quite reliable.


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There isn't a reliable mechanism. Some things to think about: It's common for venues to abuse the security reference of the primary venue to mean anywhere that this security is traded. So - for some venues and data sources - if they talk about trading the LSE-listing of RIO on Bats Europe, they will refer to that as RIO.L. I believe your examples above ...


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Data to compute Tobin's Q for most other countries, particularly emerging countries, are not available. As a result, many economists have begun to use the ratio of the stock market capitalization to GDP as an approximation for Tobin's Q.


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Trades in the US can just go to the tape (the ADF). This is common with certain block trades and certain trades linked to derivatives. There is a flag on those trades to let you see that they are "average priced trades" or "derriv linked trades"...


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Most likely you are missing something as any new order can't bypass the existing orders. The only possibility that comes to mind is if you have anti-internalization set and the broker is trying to hit his own quotes. Say broker A has two quoting systems running and they would otherwise interact. Anti-internalization would not allow this broker to trade ...


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The significant open position at some strike might be treated as a hope of those, who opened it that at expiration market will be there and further, so options will be in the money.


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You have general and specific questions, so I'll my best here. I have a forex robot that does 30% p.a. 8 years running. It's technical indicators. It's also using one set of rules that is aware of peoples-patterns. (Target prices that traders would commonly sell at). It must be people-aware because even an HFT (and some have failed in big ways) has human ...



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