meta user
network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year, 7 months |
| seen | 2 days ago | |
| stats | profile views | 26 |
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Mar 6 |
answered | How to distinguish between different types of algorithmic trading |
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Feb 19 |
answered | Quick way to check what 'tape' a stock belongs to? |
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Dec 21 |
comment |
Most natural generalization of covariance/correlation to model dependence of extreme events Agree with vanguard2k as well. They may not give you what you want, but they are well defined as long as 2nd moment is finite. |
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Nov 19 |
answered | Proxy for a trigonometric angle function |
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Oct 19 |
awarded | Yearling |
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Sep 14 |
comment |
Evaluating forecasting algorithm What's the problem? - if your forecast tells the price will go up, assume you buy, if it tell in will go down, short |
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Aug 16 |
comment |
Meta-view of different time-series similarity measures? I mean that if we go nitpicking, Graph Theory is not a method of analysis of time series. More seriously, I think a question about the relation between two concrete methods of analysis, similar to your example fits the board much better, than a demand for survey of all methods and their interrelations. |
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Aug 15 |
comment |
Meta-view of different time-series similarity measures? Would you like to make the question more specific? E.g. what is the relation between PCA and the following method in information theory? - otherwise, as you rightly notice, it looks like a collection of buzz words and the quest for unified theory of everything. |
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Jul 10 |
comment |
how do we estimate position of our order in order book? besides all other complications it depends on the exchange |
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Jun 10 |
comment |
Why isn't all market data free? I agree with user28694. Exchange owns the data, and can make money by selling it. Why should it give out for free? |
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Apr 26 |
comment |
Why in general is the variance of volume changes higher than variance of price changes? Sorry, missing your point. I guess, it is up to Qbik what he does with it, all I am saying is that it is perfectly legit, meaningful and interesting to compare those things once you bring them to the same scale. |
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Apr 26 |
comment |
Why in general is the variance of volume changes higher than variance of price changes? You can compare them, e.g. in % change. |
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Apr 13 |
comment |
Quantitative before/after or financial engineering studies of a bid or ask tax? Only there won't be anyone to sell to you either at 20.01 or 20.02. The point of my previous comment is that in this scenario, it very unprofitable to be a liquidity provider, so one can speculate that the liquidity will dry up, and the spreads will widen. Not sure what kind of quantitative research you can get beyond this level of speculation |
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Apr 13 |
comment |
Quantitative before/after or financial engineering studies of a bid or ask tax? OK, so the market is 20.00 - 20.01 and you post a bid at 20.00. If you're not super-fast, then you're likely to end up far in the back of the stack, and you're likely to get executed only when the market is going against you from 20.00-20.01 to 19.99 - 20.00 and loose money because of that. So you loose either way. Not much incentives for trading, right? |
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Apr 13 |
comment |
Quantitative before/after or financial engineering studies of a bid or ask tax? Just to make sure I understand: say, market is 20.00 - 20.01, you submit a buy order at 20.00, market moves up (and away from your order), and you not only get no execution, but also pay a fee? |
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Apr 12 |
comment |
Two prices pass the cointegration test but there is a trend. How to check stationarity? Depends on what you mean by "prove". |
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Apr 5 |
comment |
What is the minimum history data size to get an accurate EMA/ MACD for latest history point "I would only like to provide N data points, for fast calculation.." - my point is that the number of points shouldn't affect the speed: use all the data you have, run EMA on it once (go have a drink while the data is being processed), and once it's done, you only have to update the last value |
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Apr 3 |
answered | What is the minimum history data size to get an accurate EMA/ MACD for latest history point |
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Mar 23 |
answered | What is the impact of high-frequency trading on market depth, liquidity, and volatility? |
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Mar 23 |
awarded | Commentator |
