# Tag Info

9

Among matching rule, do not forget "auction calls", in most markets, you have one at the open and one at the close. To give you the main reasons to use one matching engine rather than another: Auction calls (i.e. fixings) are good to digest a lot of orders in a very short amount of time. It is why after a trading suspension, the trading starts with an ...

5

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 ...

3

If by an individual investor you mean something like the average investor, then the answer is an unequivocal no: first of all, the average investor probably cannot sell put options. In order to sell put options, you have to be very experienced and climb up the option trading approval levels. Second of all, there is no such thing as risk that can be hedged ...

3

You are right, these work use deterministic control. Framework using stochastic control exist: Bouchard, B., Dang, N.-M., Lehalle, C.-A., 2011. Optimal control of trading algorithms: a general impulse control approach. SIAM J. Financial Mathematics 2 (1), 404-438. URL http://epubs.siam.org/doi/abs/10.1137/090777293?af=R Kharroubi, I., Pham, H., Jun. ...

2

You have to remember that implied volatility comes from a "wrong" model to give the right answer. Option prices are determined by supply and demand (subject to a few arbitrage bounds). A higher implied volatility for OTM/ITM options relative to ATM options simply means that the prices of these options are higher than the Black-Scholes model would imply ...

2

Python / R (my favorite) / mathlab are fine to make a quick analysis, visualize data, prototype and backtest your strategy. But I'm not aware of any trading platform that runs with them. Keep going with whatever you feel comfortable for prototyping, but I would invest time to learn C (or even C++ on phase II, if you have enough time) as many trading ...

2

The direct filter approach (DFA) is a time series filter which is calculated in Fourier space. DFA minimizes the mean square error of a time series $y_t$ compared to a filter estimate $\hat{y_t}$ $E[(y_t - \hat{y_t})^2] = \frac{1}{2 \pi} \int_{-\pi}^{\pi} |\Gamma(\omega)- \hat{\Gamma}(\omega)|^2 h(\omega) d\omega$ The minimization is done in the ...

2

Here's a way to think about it: imagine you can do something in an ASIC (i.e. directly in hardware). However, the process of fabrication is in itself expensive, and you get a design that you cannot change afterwards. ASICs make sense for predefined tasks such as Bitcoin mining, well-known data processing algorithms, etc. On the other hand we have ordinary ...

2

Your question really makes not much sense. It's like asking how much of the wiring in trading infrastructure uses optic fiber and how much of it uses copper. The best answer that we can give to you is that an FPGA is not a magic bullet. Vendors like Cisco claim they have achieved the same results with high performance NIC's ...

2

I do not believe that the exchange is capable of tracking down the person or legal entity who has been part of any recorded transaction and in particular linking the activity of market intermediaries to the ultimate interests of beneficial owners. However, under certain conditions, the person or legal entity has to report to the SEC his identity and his ...

2

Have you checked White's "reality test" (White H. A reality check for data snooping. // Econometrica. 2000. № 68. С. 1097–1126.)? Anyway, when you use Monte-Carlo, you always have a variation of "double hypothesis" issue, noted by Fama: first hypothesis is that your model of the market is right, and the second - that trading rule you test (against your ...

2

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 ...

1

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

1

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. ...

1

Excluding trade costs (which is a big assumption), you would need to consider margin.. http://www.finra.org/Investors/smartInvesting/AdvancedInvesting/MarginInformation/p005922 Assuming 1MM Short with 25% margin, you would need 250K in a margin account. This would be marked to market and you might get a margin call if your shorts climb.

1

Your problem going into maximize trading capital using 3 strategies. Optimal scenario should use all available capital for 3 strategies, in way that when only 1 strategy trading then using all available capital, when second trying to create trade while first taken all capital, then half of capital can be moved from 1 strategy to cover 2 strategy trades or ...

1

There is a great answer as to when an investor has to file. The only other piece of information that you might have available to you, is the broker number of the buyer or seller as listed on the trade notification. For most of the big firms this won't help you as their retail , buy side and their own internal flow will all be seen under that number. It ...

1

KDB is a column oriented database and is optimized for time series. As far as I know there are no libraries available for statistical testing and you pretty much have to write things on your own. This page has tutorials http://code.kx.com/wiki/Main_Page You can download the free version from here http://kx.com/software-download.php The most popular book ...

1

FPGA's are really nothing more than the same logic blocks repeated again and again throughout the silicon, with configurable switches to connect the logic blocks together. This makes FPGA's very good--and fast--at dealing with repetitive problems that can be described in a hardware circuit that does not change during operation. And you can have literally ...

1

To expand on pbr142, If the implied volatility (vis. Black & Scholes) is persistently higher for short-expiry contracts away from the money, the problem is the model, not the thing that's modeled. The price of a contract at a given point in time is the "correct" price at that point in time (or we should move this to philosophy.stackexchange.com). So ...

1

If you only need to pick 5 out of 10 and want equal weights then just enumerate all 252 possibilities (as pointed out above) and compute the portfolio volatility $(\textbf{1}'K^{(i)}\textbf{1})^{1/2} = \left( \sum_{ij}K^{(i)}_{ij} \right)^{1/2}$, where $K^{(i)}$ is the covariance matrix for the $i$th subset. Then use whatever subset gives the lowest ...

1

I'll answer as if the backtester design goals were driven by specific system in development or planning. There's a lot of data to process in the market and atleast for my own system development I like to focus on data that I think may provide value in the system development. For that reason I chose to capture data from my broker - they offer so much data ...

1

The CFA institute defines "material" information as information that would change the price of a security if it was released or that a reasonable person would want to know before making an investment decision. Non-Public information is information that is not available to the general public. That could include information that was released to only a select ...

1

In the Up scenario, there is not one possible outcome. There are multiple possible outcomes within Up. This could be (i) fill and price goes up, (ii) partial fill and price goes up, (iii) no fill prices goes up. All three outcomes have positive value in expectation, with that value descending as we go from (i) to (iii). The third outcome is profitable in ...

1

There can be several reasons for this: The "new data" that you use post-training & post-validation is not drawn from the same distribution as the one that you used to create/draw your training, testing and validation data. Since you have not mentioned anything related to the input features in your data-set, I am assuming that the ...

1

Since you are talking about using volatility of stocks you could just use the straddle strategy both on long or short. I will answer only with theory about trading strategies. If you are 100% certain (we know this is not possible, but let´s take this as an assumption just for the sake of theory matter) of the volatily you can go two ways: High Volatility: ...

1

This is a really confused question and the OP clearly doesn't work in this industry. Any connection to an exchange requires using the format the exchange has chosen. I.e., you don't get a choice. That said, I don't know of a single exchange that allows order entry via SBE. CME Group will use SBE for their new market-data feed (replacing FAST compression), ...

1

It is true that you don't change your risk/return ratio but you can scale the ingredients of this ratio, meaning that you can e.g. scale up the level of risk you are prepare to take to also lever up your returns. Through that mechanism you can make use of very small spreads.

1

ForexConnect is an API for FXCM. More information can be found in this PDF: https://files.fxcorporate.com/api/Getting%20Started.pdf

1

In Hamilton's book there is a chapter on Spectral Analysis. It is equivalent to Fourier Analysis of deterministic functions, but now in a stochastic setting. Intuitively, it is similar to the 'construction' of a Brownian motion as the limit of a Fourier series with random (but carefully selected) coefficients. Extracting and studying these coefficients can ...

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