New answers tagged market-data
Here are four links: http://www.bloomberg.com/quote/SPX:IND http://www.bloomberg.com/quote/DAX:IND eu.spindices.com/indices/equity/sp-500 www.boerse-frankfurt.de/en/equities/indices/dax+DE0008469008
CBOE has something with limited capacity. Yahoo Finance also gives the current option chain. But historical option data is not free. The most affordable I saw is here. I don't know about its validity but their structure seems good and almost clean. More importantly, data seems reliable. p.s. I am not sure if providing the paid data link is within T&C ...
this is just theory, don't take it as serious, theory it's just take on approximation of reality and in this case not good one, people trade to check that strategy is profitable or trade because they think it will profitable, besides that you have many other spaces on what people compete with each other in this game
The formation of asset price bubbles, such as the recent US housing market bubble, is perhaps the clearest indication that markets are not efficient. Hundreds of bubbles have been documented for all kinds of traded assets; see the tulip mania for an extreme case. Many practitioners also routinely use trading strategies such as momentum or reversion to the ...
It's unclear what type of trading you are referring to (day trading sort of?). Also I'm not familiar with the aforementioned paradox. However, I think it's weird to say that you can't make money from trading, the semi-strong (strong) from of the EMH only states that the current share price incorporates all publicly (and non-publicly) available information. ...
Making money is not the only reasonable objective to trading. Another common reason is to manage/reallocate risk. For example, this is exactly the objective of liability-driven-investors, such as pension funds. They're specifically trying to match durations of their liabilities. It doesn't matter if pension fund managers believe there are no inefficiencies ...
I found US data here. While this data doesn't include correlations, these can be calculated relatively easily.
Most of these classifications of aggressive trades are not so relevant anymore, due to smart order routers which execute aggressive parent orders using passive child orders, as Maureen O'Hara points out in http://www2.warwick.ac.uk/fac/soc/wbs/subjects/finance/fof2014/programme/maureen_ohara.pdf I am not sure what I would do if I wanted this information, ...
I've found that the EODData website is difficult to understand. That can be overcome with reasonable support. I wrote to EODData with a support request one week ago. I have yet to get any response. This site, absent decent support, is worthless. I would advise that you avoid it like the plague until the owners start to pay attention to support requests. ...
The most commonly-known approach to this is described in Inferring trade direction from intraday data (1991) by Lee and Ready. You will find that the non-trivial part has to do with classifying trades that are reported inside the spread. I believe you will find that the Lee-Ready algorithm will outperform the naive midpoint reference approach suggested by ...
I think spread midpoint will be more safe reference, after that if transaction price is higher from midpoint its buy, otherwise sell, if equal then not specified.
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