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hft is in general a sure bet simply because , by definition, they get their orders in faster than anyone else, with minimal transactions costs... (except other hft'ers!). so, there is virtually no risk in the trades they do i would not expect any hfters to lose money ever, except if they have a bug in their algos, ir they are actually taking risks the ...


8

You can find everything you want to know about this here (and in a very readable and easily reproducible form): How Students Can Backtest Madoff’s Claims by Michael J. Stutzer (2009) From the abstract: Markopolos’ writings neither described nor included any specific backtests of the strike conversion strategy. Fortunately, a backtest is relatively ...


2

You may have a look at what is called: econophysics. Basically, it applies techniques in statistical physics into financial time series, including power law as you mentioned. You may start with: This paper: A theory of power-law distributions in financial market fluctuations This classical book Theory of Financial Risk and Derivative Pricing: From ...


2

When position = 1, then you are long the S&P ETF. When position is -1, your portfolio consist of a short position of -1 S&P ETF. You will therefore have a vector like $Pos = (1,1,1,1,1,-1,-1,-1,-1,1,1,1,-1,-1,-1, \ldots)$, that will give you the evolution of your portfolio. Your returns are then the daily returns on the S&P multiplied by your ...



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