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Well. I'm not pretty sure if I understood your question. Leverage is optional in options. You can o cannot have leverage, just depends on the product you are buying. Lets say that you have a leverage of 10, and you buy 10 shares and 1 put. What you are doing is making a strategy in which you are betting for the market to not move. So it is useless. ...


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The way to do gradual position entry and exit is to use multiple trend following rules, each of which is responsible for managing a part of the available capital. Only if all the trading rules agree will 100% of the capital be deployed. As a simple example, suppose you have three rules. The first rule is based on 10 day momentum; this rule produces a score ...


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Here is a collection of papers. The general idea is that the market has investor classes that share different expectations. When in bubble territory, many investors generally agree that assets are overpriced, but they still invest in expectation of more investors entering the market (the greater fools). There are also sophisticated investors who know assets ...


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A public order book gives traders information not only on the current price of a security, but also the volume and structure of the entire supply and demand schedule. Such information can be used for arbitrage and market manipulation strategies in various ways: Spoofing: Inserting a large limit order as an apparent buy or sell signal which is canceled any ...


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Let me guess, you fell for one of the fake Quantquote reviews and decided to purchase their buggy data? The reason for the missing quotes is Quantquote data is more of a snap-shot of market activity. It will not record every quote the way TickData or CQG does. ActiveTick is not as expansive as TickData but is more comprehensive than Quantquote. Maybe this ...


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You won't get an exact answer for this I'm sure, all one can say is welcome to the world of finance and bad data. All jokes aside there could be a number of reasons (one vendor missed a message, network lag, not getting quotes from a certain exchange exc).


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One workaround for this is to add to the cumulative profit and loss the initial equity and transform the points gained in cash. Here is what i usually do. I trade forex. dollarPerPip = contracts * 100; % Here i calculate how much a pip worth in dollar, this value is true for EURUSD forex cpnl = cumsum(pnl); cpnl = (cpnl * dollarperPip) % Here transform ...


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Barra risk factors are particular factors used to implement the Barra risk factor analysis, that consists in a multi-factor model developed by Barra inc. to measure the overall risk to which a financial asset is exposed. According to investopedia.com: Barra Risk Factor Analysis incorporates over 40 data metrics including: earnings growth, share ...


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I am not sure Dark Pools (DP) have been created to avoid "market manipulation". They have been created by firms because they found an advantage to create them (see Market Microstructure in Practice, L and Laruelle Eds.). The main reasons have been: spare market fees, for DP created by brokers (like UBS MTF); spare market impact, for block pools (like ...


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Style factors are used to describe the risk or returns of a portfolio or a asset. Style factors describe them in consistent terms that a board of directors or a portfolio manager can understand. You cannot easily do this with eigen values for example. "... Identify segments of the market with distinguishable patterns of returns." The first known style ...



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