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5

Within the fixed income space, there's a lot of literature on PCA trading. The first 2-3 principal component factors (PCs) can typically explain 90-99% of the total variances in yield curve movement. It's also nice, because the first PC looks like a change in the overall level of the yield curve, the second PC looks like a slope change, while the third ...


0

You can avoid cancel/replace using pegged orders. Depending on your model that could be very useful.


2

While I've never used SIT, I have used quantstrat quite a bit and can attest to its strength. It has a solid developer community backing it (7 contributors on Github), is part of the TradeAnalytics project on R-Forge, and while it's still technically in beta, it should provide plenty of functionality. There is admittedly a pretty steep learning curve when ...


3

My understanding, in that context, is that signal indicates that you want to hold a share (signal is 1) or hold no shares (signal is zero). Therefore taking the diff will tell you if you want to buy (signal zero to 1, diff is 1), sell (signal 1 to zero, diff is -1) or do nothing (signal stays at zero or stays at 1, diff is zero).


1

I did a similar internship at a quant equity shop and based on my experience, I think there are a few common aspects to such work, which you can try and work on, to have a more productive internship experience: 1) handle on programming language - check with the firm what programming language they'd want you to work in. And in case, you have never worked in ...


4

Well you have a few alternatives to lower your commissions. You can get your own broker number in which case you don't go through anyone, you go direct to the exchange so you just pay/get the active/passive rebate. If you are really HFT then this is often the route you take. For the case where you pay a commission to your broker, they are eating/taking ...


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I think there is something that has not been mentioned. "price" is used as the x variable instead of "change in price" or return. This could be a problem, as price itself is non stationary, causing problem to statistical properties. With that being said, correlation is an inflated indicator here, exaggerating their relations. In Heston's model, indeed, the ...



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