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| bio | website | |
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| age | ||
| visits | member for | 1 year, 7 months |
| seen | May 15 at 16:05 | |
| stats | profile views | 166 |
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Oct 16 |
revised |
What are the typical “realized latencies” across different products and infrastructures? added 1 characters in body; edited title |
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Oct 16 |
asked | What are the typical “realized latencies” across different products and infrastructures? |
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Oct 16 |
revised |
Why do some anomalies persist while others fade away? expanded explanation |
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Oct 16 |
comment |
Why do some anomalies persist while others fade away? @TalFishman, thanks. Your interpretation is generally correct. But more specifically I argue that anomalies and arbitrage opportunities (AO) are different beasts. AO are anomalies, but anomalies are not necessarily AO. As such anomalies cannot generally be "arbitraged away". Why? (1) Unexplained risk and (2) limits to arbitrage. I edited my answer to make it a bit more complete. |
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Oct 16 |
comment |
Applying models with normality assumption on tick data? @jk3000, why don't you post some specific papers and references for your statements? That would help framing an answer. |
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Oct 16 |
answered | How to forecast expected volatility from high-frequency equity panel data? |
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Oct 16 |
answered | Any research on how natural language processing can be used to forecast stocks? |
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Oct 15 |
awarded | Supporter |
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Oct 15 |
awarded | Editor |
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Oct 15 |
revised |
Is there data on market participants at a particular moment? added 1 characters in body |
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Oct 15 |
awarded | Teacher |
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Oct 15 |
answered | Is there data on market participants at a particular moment? |
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Oct 15 |
awarded | Organizer |
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Oct 15 |
revised |
How can one determine approximately what percentage of options trades are buyer-initiated vs. seller-initiated? edited tags |
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Oct 15 |
comment |
How can one determine approximately what percentage of options trades are buyer-initiated vs. seller-initiated? Can you be more specific? What do you mean by "% buying" and "% selling"? |
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Oct 15 |
comment |
How can one determine approximately what percentage of options trades are buyer-initiated vs. seller-initiated? I read the question from a microstructure perspective: "Buyer/seller initiated trade" is common parlance for price taking in a certain direction, in contrast to providing liquidity with a limit order. This decision is an execution decision. Switching from cash to equity (or vice versa) is an allocation decision. |
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Oct 14 |
comment |
How can one determine approximately what percentage of options trades are buyer-initiated vs. seller-initiated? But each trade is either buyer or seller initiated, no? Open interest doesn't help in answering Beatrice's question. Instead, one needs order flow. |
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Oct 14 |
answered | Why do some anomalies persist while others fade away? |
