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https://mechanicalmarkets.wordpress.com/2015/02/16/protecting-client-interests-anonymity-in-us-equities/ does analysis similar to the question here. It examines the post-trade performance of orders grouped by their MPID (only UBSS and anonymous orders had enough data points to report). It also looks at market impact upon the addition of a new order. ...


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First of all, I do not believe the "optimal smoothing" of an estimator (like the mean or the variance) and the "regression case" are the same. The smoothing of an existing estimator (like mean or variance in the blog post), is an univariate problem, where the regression is a multivariate one. In the regression case, you should be able to change the ...


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This is a very good observation that I wrote about in my undergrad studies. I also believed that markets were efficient but not precise. I used the example a few years back regarding a tweet (roughly after the Boston bombings). The tweet was regarding terrorist attacks in which markets fell sharply and then recouping all the gains as news later indicated ...


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You should read Market Microstructure in Practice, and have a look at the slides of the Market Microstructure: Confronting Many Viewpoints conference. To go back on your HFT question, you have to pay attention to the difference between low latency and high frequency trading. low latency is news trading: can be few times a week, but you have to be the ...


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In my experience HFT has to balance the reward of any strategy with risk. In the case of a news-based trading strategy, the risk can be enormous, which means the algo will need a very high expected profit in order to trade the news. After important news events, volatility skyrockets and persists for some time (sometimes even days). If the market were able ...


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I have created some Fourier Analysis of stocks here: http://www.gregthatcher.com/Stocks/Default.aspx I turn the raw data into a series of sines and cosines, show the Fourier approximation as a graph, and then allow you to "turn off" the various sines and cosines, so that you can see how the various "frequencies" contribute to the graph of the stocks values. ...



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