Hot answers tagged trade
I would recommend Marc Wildi's work on signal extraction.
My research so far: OptionsXPress - with commissions of about USD 1.25/contract. USD 1K minimum account opening. Interactive Brokers (IB) - with commissions of about USD 0.70-1.00/contract. USD 10K minimum account opening. TradeStation - with commissions of about USD 1/contract. One point to note is that TradeStation's EasyLanguage platform is NOT a true ...
Yes. Check out Time-Series Analysis by Shumway and Stoffer. Spectral Analysis and Filtering is covered in Chapter 4.
In the academic literature it is extremely widely applied in the last 20 years. I would estimate maybe 200 empirical papers, or more. For example a common finding is that higher frequency (daily) wavelet correlations have been high since 2007, attributable either to increasing financial interation or the financial crisis. It is also popular to estimate the ...
Check out MB Trading. Their API is quite good and their support is excellent. http://mbtrading.com/developers.aspx
Fractal spectra are covered in Multifractal Volatility: Theory, Forecasting, and Pricing. Also note that your run-of-the-mill moving average of a price series is a low-pass filter (filters out the higher frequencies), and moving averages are very used in basic financial analysis.
From Wilmott: Trade capture is the process of booking (or capturing) the trade into the systems used within a financial organisation. This may sometimes have to happen multiple times depending on the complexity of the trades and the ability of the systems to be able to capture the economic, non-economic and static details surrounding the deal. ...
Interactive Brokers provides it as a field called count. In this page of the IB API Reference Guide count is described as follows When TRADES historical data is returned, represents the number of trades that occurred during the time period the bar covers.
Its not available for free anywhere that I know of. Your only option is to purchase tick data for the instruments you're interested in and then count the ticks per trading session (or whichever timeframe you want to use). EDIT: This link might be interesting for you regarding how to get market data. ...
Something like a moving average smoother is akin to a low pass filter, the 'stochastics' of technical analysis crudely akin to a band pass filter. Going up the ladder of sophistication, you can see something like http://www.jstor.org/pss/3592665 or applications of wavelet decomposition. This paper from 1963 by GRANGER, CLIVE W. J., and MORGENSTERN, 0. ...
Here is a gentle introduction to wavelet methods.
TradeStation does options, not necessarily through IB. http://www.tradestation.com/
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