Tag Info

New answers tagged

0

Yes indeed. There is a western paper which uses order data, albeit trader identification was removed. It is obviously this one: http://www.cims.nyu.edu/~almgren/papers/costestim.pdf Unfortunately, this data wasn't public. The co-authors were senior analysts at Citi: Robert Almgren is associate professor in the departments of mathematics and computer ...


0

I dug around and there's indeed an old publication on Risk.net written by a university professor that uses Citi's data: The data set on which we base our analysis contains, before filtering, almost 700,000 US stock trade orders executed by Citigroup equity trading desks for the 19-month period from December 2001 to June 2003.


0

I've read a paper from an asian institute on trader's profitability. Unfortunately I can't find it anymore. They had such order data. Maybe it is easier to get such information in less regulated markets. However, I couldn't find anything useful there yet.


1

When an exchange (or ECN) receives an order, there is no identifier of the buyer or seller. Therefore the only place that this is available is at the broker themselves. No broker would be willing to provide this information even on an anonymized basis and it would be a violation of other laws and regulations (such as Regulation S-P). ...


0

Maybe there is a better choice, but here is what I think : take time series apply LOG function to each of them subtract MEAN or STDEV to standardize them (mean is less time consuming) Now you should have time series that are measured in the same units, thus, you can say for sure which one is higher and which is lower. The lower one you BUY, the higher - ...


2

It's no bad but you have to backtest the method out-of-sample. Say you have discovered an indicator that works 100% in history, you still cannot be sure if it works next time. Another advise is you might want to investigate the distribution of loss when your system fails to work. If your system delivers 1% every time you trade, and loses 10% each time it ...


3

In the long term you will underperform buy & hold because you need an accuracy of at least 65%. See these papers for more: Bauer, R.; Dahlquist, J.: „Market Timing and Roulette Wheels Revisited“, CFA Institute, 2012. http://www.cfapubs.org/doi/pdf/10.2469/irpn.v2012.n1.10 Sharpe, W.: “Likely Gains from Market Timing”, Financial Analysts Journal, ...


2

It's not unusual to find a financial time series with positive trend samples biased between 55-60%, depending on the period sampled. Stocks tend to have an upward drift over the long run. When you account for the drift, I would say, that number is really not much better than chance. A better way to verify your question would be to make certain to build ...


1

Directional forecast is insufficient. You could have a signal that has 100% accuracy and you would not necessarily be able to profit from it because of transaction cost, implementation etc.


2

Of course you can sell options and you can certainly sell options on most major indices. Thinkorswim (TDAmeritrade) offers and excellent platform. Moreover, one can short options without "full" account privileges provided a defined risk trade is entered (such as an iron condor or call spread)


4

Given one satisfies margin requirements anyone can short exchange traded options as long as local regulators permit (American retail investors at present are not permitted, for example, to trade futures options . As long as there is a market and one finds a willing counterpart nothing speaks against shorting options contracts. Some brokers might require a ...


0

Maybe interactive brokers do it, see here


2

It depends on the derivatives exchange but e.g. Eurex exchange can also be used by retail investors as long as they are qualified (concerning their max. risk level) and their bank offers access to it (some at least do that).


0

QuantConnect provides an open source, community driven project called Lean. The project has thousands of engineers using it to create event driven strategies, on any resolution data, any market or asset class. Our system models margin leverage and margin calls, cash limitations, transaction costs. We maintain a full cashbook of your currencies. Its about as ...


1

If you are after treasuries, you can check http://www.newyorkfed.org/research/staff_reports/sr381.pdf which discusses trade impact on BrokerTec. If you are after equities, the literature is enormous, you can pretty much google for "trade impact limit order book" or smth similar. In practice, it's an empirical approach: you put all the factors, that seem ...


1

Theoretically "information" about stock prices is still arriving (including information about developments outside the United States) and the futures market is doing its best in estimating what the price of the index would be if it was trading. In practice, during the night, traders are following the foreign markets (Europe, Asia) and adjusting the price of ...


-3

Because in the time interval expectations change (due to news etc.).



Top 50 recent answers are included