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I'd add: Variance reduction Fraction same sign / Hit rate Additionally, you might look at the relationship between the Q5-Q1 spread itself and the dependent (i.e. are larger/smaller spreads associated with some feature of the dependent). Turnover may also be an issue as slippage and friction come into consideration. Measures such as percent turnover in ...
Servers co-located at exchanges for the purposes of low latency algo trading would primarily listen to the exchange's feeds. The feeds would generally be disseminated via multicast on a fibre network. Certain exchanges charge a proximity fee based on the length of the fibre to the trading server and others make all the fibre cables equally long. The feeds ...
The CFA institute defines "material" information as information that would change the price of a security if it was released or that a reasonable person would want to know before making an investment decision. Non-Public information is information that is not available to the general public. That could include information that was released to only a select ...
According to this video there are basically four kinds of messages available in the feeds: Order is added to the book Order is removed from the book Execution of an order displayed in the book Execution of an order not displayed in the book The speaker goes on to say that these messages are sufficient to reconstruct the publicly available market ...
I don't think any of the current answers, answer the question, there is one metric that dominates all of them and that is simply the t-stat of the factor. This is well shown across academic literature as well. The rule of the thumb here is to use a t-stat greater than 2.
If you're using R, you might try: http://cran.r-project.org/web/packages/relaimpo/index.html http://stats.stackexchange.com/questions/8918/is-there-a-way-to-optimize-regression-according-to-a-specific-criterion/8932#8932
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