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visits member for 2 years, 6 months
seen 19 hours ago

Jan
10
comment Book on market microstructure
Out of curiosity, what's so HFT oriented there?
Jan
10
answered Book on market microstructure
Dec
30
comment How to interpret beta meaningfully?
Just wanted to finish your logic to the complete answer: using the formula for beta above, one can see, that beta(A, relative to B) * beta(B, relative to A) = correlation between A and B. So one shouldn't expect them to be inverse of each over. In your example it just means, that the correlation between the returns is sqrt(0.48 * 0.74) ~ 0.59.
Oct
19
awarded  Yearling
Oct
3
awarded  Student
Oct
3
asked interest rate in cost of carry
Sep
24
comment Trader's identity in a limit book
@ CharlesM (cntd): You can look at the time gaps between consecutive trades on the feed. What you will see in the statistics, is that there will be a number of events with very small/no gaps, and the rest - with significantly larger gaps. This way you figure out for the reasonable threshold. @chrisaycock: there is no such thing, as "the same time", and I think it's extremely unlikely, that NASDAQ will receive several separate orders within 1 nanosecond.
Sep
24
comment Trader's identity in a limit book
@ CharlesM - I can't say, 0 nanoseconds or 10, but yessure about nanoseconds, but yes, that's the idea
Sep
23
answered Trader's identity in a limit book
Sep
11
comment Transaction Data with Participant ID
I don't have access to this data, and can't tell 100% sure, but yes, I expect you can (if they still do it) get it from NASDAQ only.
Sep
11
comment Transaction Data with Participant ID
The papers are not hard to find (e.g. faculty.haas.berkeley.edu/hender/HFT-PD.pdf). Notice, that 1) It's NASDAQ, that distributes this info confidentially, so if anything you / your school has to request from them 2) They don't give MPID's, but rather label "HFT/non-HFT" 3) Besides what other people mentioned about identifying HFT by MPID, notice that the labels they give are based on the analysis of the trading activity, not the exact knowledge, about the firm behind MPID.
Mar
6
answered How to distinguish between different types of algorithmic trading
Feb
19
answered Quick way to check what 'tape' a stock belongs to?
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.
Nov
19
answered Proxy for a trigonometric angle function
Oct
19
awarded  Yearling
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
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.
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.
Jul
10
comment how do we estimate position of our order in order book?
besides all other complications it depends on the exchange