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14

Look at Genesis Trading. Most of the sales guys there are kinda like used car salesmen but they will work with you. Starting up with 50K should not be a problem for them. The offer full depth of book feeds if you are colocated with them. They do offer DMA and you can specify all routing instructions for your orders rather than getting stuck on IBs router. ...


11

Not saying this trade won't work, but there's certainly no guarantee that it will... Given that QE will stop in October is well teleported at this point and has been expected since last year, you'd think this should be fully priced in. Last year, when the "tapering" talk started, Treasuries did sell off quite a bit, but has since rallied all the way back. ...


10

Most contemporary NN systems are just made to use the raw price time series for input (maybe with some kind of simple normalization), but for my thesis I wrote a system which traded equities with an ANN with technical indicator inputs (MAs, MACD, even pattern matching for stuff like Head-Shoulders, support levels, etc.). So at least conceptually it's ...


8

The predictor variables would consist of the input layer to the neural network. The output layer would consist of your target. You need to specify the hidden layer, number of nodes per layer, the learning algorithm, and the learning algorithm stopping criteria. Typically inputs are normalized (first-differenced, z-scored, etc.) before inputting into the ...


8

You are missing the futures basis and roll cost. Futures expire, and need to be rolled into the new expiry. The basis is not static and can vary considerably, depending on the specific underlying and contract. Quants may have a hard time to appreciate this but the basis is not at all fully quantifiable at all times: It can hugely vary entirely due to shifts ...


7

CXO-Advisory investigate the claim of this paper and conclude that evidence indicates that changes in open interest in futures markets are strong predictors of returns for associated asset classes, even after controlling for a number of conventional predictors. They state that investors may be able to exploit these predictive powers via tactical asset class ...


7

The best theoretical model for pricing vix futures and options is a variance gamma model. However in practice that class of models is difficult to get robust results... In practice, most floor traders in vix products base their hedging off of the SPX option chain. Vix is calculated from those options, in the first place, so this approach makes intuitive ...


6

Farmers (usually referred to as hedgers) typically buy Futures, not options. The CBOE does not transact in agricultural commodities The CME, and other exchanges, transact in agricultural commodities. These exchanges grew, for the most part, directly from the trading interactions of farmers(hedgers/producers) and middle-men(speculators), in the area where ...


6

If your intention is to use the resulting continuous contract time series to perform return based calculation as would be the case with a volatility analysis then what you want to use is the ratio-adjustment method. If you are happy to roll on a single day this is trivially implemented by taking the ratio of next contract settlement price to leading ...


6

For reference, note that execution strategies for some types of futures contracts can be very different from equities. An example are Interest Rate Futures, e.g. here. The main reason lies in microstructure differences. For some more details see the white paper "US Treasury Futures Roll Microstructure Basics" by Quantitative Brokers (I have no affiliation ...


6

You are correct that large orders should be algorithmically broken-up. Perhaps the most straightforward algo is the VWAP (volume-weighted average price), which most brokers offer. Since a VWAP is easy to compute, the trading details are often transparent to the user. There are more sophisticated algos, like Arrival Price, though not every broker offers ...


6

Maybe a better question title is "Can futures market open interest predict commodity, treasury, and equity returns"? I saw this paper in an earlier form and it still baffles me. Superficially, it makes sense that price*quantity holds more information than just price when quantity can change quickly (i.e., outstanding futures contracts changes more quickly ...


5

Not really a quant question, but a quick search led to this from the CME: http://www.cmegroup.com/market-data/files/CME_Group_Settlement_Procedures.pdf. Unfortunately it depends on the contract, for example: Equity Futures: For S&P and NASDAQ, the settlement price of the lead* month contract is the midpoint of the closing range determined based on pit ...


5

I will break up your question in to some parts to make answering easier. "people use various economic indicators with their networks (moving average, MACD, etc.) However, how do these come into play in a NN context?"--the 'indicators' MA, MACD etc. come from the data. They are measures of the data capturing some aspect. You could try to capture/replicate ...


5

The delta factor you seek is the spot to futures price ratio without having to use all those parameters. Now to answer your actual question: Since you are getting futures data, you presumably have the tickers. You can infer the expiration date from the ticker. Expiration dates are always on the third Friday of the month, and the ticker contains four ...


5

No I believe there is no directional predictive value derived from looking at divergences between futures and their underlying price value. The reason for divergences are of the no-arbitrage argument type. Futures could be arbitraged (and are immediately if such arbitrage opportunities surface, even those opportunities may only fill the stomach of a single ...


5

Yes. Although sometimes people mean the Euro/Dollar currency pair which can cause confusion. Besides the daily mark-to-market, the counter-party risk is also removed through the clearing house for the futures. No. Eurodollar and FRA are not the same as swaps. A Eurodollar fixes an interest rate for a three month period in the future whereas a swap ...


4

If I were you I would be very cautious when playing this mean reversion. For several reasons. 1/ You never know when this spread is going to close, and the contracts on which you enter the trade may have expired. Then you would have rolled. In fact the arbitrage can close without any opportunity to capture it because of the roll yield. I advise you to play ...


4

Check out Advantage futures and the algoadvantage service they offer. You'll need to colocate a server with them and either purchase exchange connectivity software or certify your own app (this is only for derivatives trading..) Also check out mbtrading. No java api but they offer a FIX interface so you can use quickfix. If you trade enough you can get a ...


4

Here's a discussion/conclusion about the Flash Crash: http://www.nanex.net/FlashCrashFinal/FlashCrashAnalysis_Theory.html Quoting the above link: "....A sale (or purchase) of 2,000+ contracts which rips through one-side of the depth of book in 50-100 milliseconds, will immediately overload many systems....." My point is, HFT currently takes place in ...


4

If you are looking for good explanation with example than you may want to consider reading Jim Harper aka Bionic Turtle and his article on forward rates and spot rates. You can find excel spreadsheet for given example there as well.


4

VIX is calculated from a basket of SPX options, and VIX futures expire into following expiration, e.g. September VIX futures that will expire next Wednesday will use SPX October options chain to calculate settlement value. If $B$ is the value of the basket then VIX value at expiration is $\sqrt{ B }$. Then VIX futures price is the expectation of the basket ...


4

Short Answer : Futures don't have Greeks Long Answer : Assuming a non strictly mathematical (i.e. false) point of view. Well, having Greeks on VIX Futures is not relevant, VIX value is itself a "Greek" (and Futures don't have Greeks). Sensitivity to Price of the Underlying : Insensitive (ν = 0) Volatility of the Underlying : Delta Δ = 1 (to Volatility ...


4

Yes, it is definitely possible to do so. With a long fixed-income portfolio, you'd typically be buying puts on treasury futures or writing calls on them (writing calls may not be feasible if you're an institutional investor due to regulatory reasons). In general, duration for long puts/short calls would be negative. However see caveats below: Typically, ...


4

Just take something like $$ \frac{\log{\frac{F_j}{F_i}}}{t_j - t_i} * 365 $$ where $t_i$ denotes the expiry (or alternatively delivery) date of future $i$. The annualization is so you can compare different futures.


4

I'm quite sure I heard it in reference to trading sessions. Gold full (trading session) is CME Globex. Gold only (open outcry) is just the floor session. The prices will differ when the floor session is closed.


4

Think of it like a forward trade on the settlement price. If you are buying with a TAS you are agreeing to go long the futures contract at the settlement price (+/- the offset), and whoever you trade with is agreeing to go short at the same price. It is guaranteed because the exchange becomes the counterparty for both traders and there is a margin deposit. ...


4

Your question is an important one, but I am not aware of any particularly satisfying answer. There are several papers on this issue -- see Luo and Zhang 2009 and Zhang et al 2010, just for example. One thing to note is that VIX futures are not always in contango -- after large jumps in the VIX, they can even be in rather steep backwardation. I have heard ...


4

VIX futures tend to rise when the S&P 500 falls -- the correlation of returns is about -0.7. If there were no contango in VIX futures, everyone would buy them to get free insurance against stock market declines. Here is a recent working paper making this argument -- note the last sentence of the abstract. ...


4

VIX is a measure of volatility -- something that changes explicitly with uncertainty. The chances of uncertainty arising tomorrow, is lower than the chances of uncertainty increasing in the longer term. A long-dated option should therefore have more "potential uncertainty" baked into the price. When pricing normal futures, the price is a martingale, the ...



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