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Apr
19
comment What are flickering orders?
@onixvix: if you claim, that the flickering orders delay the exchange, than you knowing the quotes are yours will still get the feed as delayed as any other participant sees it. So the only possible way to gain anything from it is to be faster processing the incoming messages from the feed. You'd still have to convert it to the internally used format + find it the quote id in the list of "spamming quotes", that you send. I find it hard to believe, that you can gain a noticeable advantage this way, so I'd be interested to see anything, that confirms that it's possible.
Apr
19
comment How are ETF fees deducted? What happens if you short an ETF?
regarding your first question: quant.stackexchange.com/questions/2247/…
Apr
17
comment What are flickering orders?
@onlyvix: presumably, it creates about the same work for the person, who sends these orders?
Apr
15
comment What are flickering orders?
Do you know any examples when "quote stuffing" was clearly established, and/or a firm (say, in US equities) was fined for it? I often see it as a speculative argument against HFT, but never saw any reasonable confirmation to it. I think, the second case you mention is much more likely. Another possible case could be a software glitch.
Apr
11
answered Timing of S&P 500 Component Changes - Pre or Post Market?
Apr
6
comment FIX engine for very low latency
what is the question? :)
Apr
1
comment Is it really possible to create a robust algorithmic trading strategy for intraday trading?
yeah, it's been quite a while since it has stopped working :)
Mar
24
comment The Relation Between the Ricci flow and the Black-Scholes-Merton Equation
Let's not make a Ricci flow wiki here. The question is: did Perelman really write about the two together, and did he mean anything beyond general similarities. So far we know that it was mentioned once without a reference in a book targeted towards non-mathematicians. I gave you my opinion in the comments. It coincides with the answers the same question got on math.stackexchange and wilmott forums. If you want to dig further, I suggest you try to find a paper by Perelman where he mentions Black-Scholes. They should be mostly on arxiv. Or else write to O'Shea to check if he knows what he meant.
Mar
24
comment The Relation Between the Ricci flow and the Black-Scholes-Merton Equation
I concur with gg user - can you give a reference to the quote in your question?
Mar
24
comment The Relation Between the Ricci flow and the Black-Scholes-Merton Equation
If anything, this is an informal remark about the nature of these PDEs. Hence, there is no precise statement here to prove. BS can be cast as a heat equation, and Ricci flow can be reduced to it in a special case referenced in the above mentioned wiki. People try to use general heuristics applicable to heat equation for Ricci flow in general, but it's nothing more than heuristics.
Mar
11
answered Pairs Trading Signals and Positioning
Mar
9
asked Principal components in treasuries: spot vs futures
Feb
28
comment Order flow intensity
You need to specify what you mean by the intensity.
Jan
25
comment Estimating Daily Dynamics using Hourly Data
Depends. What if one instrument trades after-hours and the other one doesn't. Or both don't trade much, and the spread widens a lot, etc. In my experience, it's not a good idea to mix hourly/minute date during trading hours and after. But as said, there should be a way to do it right.
Jan
25
comment Estimating Daily Dynamics using Hourly Data
This is not to confirm, that it's not possible, but to note it's a bit different. While daily data is uniform within a month, hourly data within 24hr is certainly not: there are trading hours, and the rest, which you'll somehow have to treat differently.
Jan
11
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Dec
31
comment What are the canonical global-macro investing books?
I'll be surprised if you get an answer on the level you've specified. On a more general level I've enoyed "Inside the House of Money", and Dalio's notes on "how economy works".
Dec
29
comment Nasdaq trading under the scenes: market makers, ECNs, brokers. Who buys from and sells to whom?
those are a lot of questions for a comments section. Just find some up to date overview of market microstructure in US equities. This forum is well suited to answer concrete questions, but not to give an overview of the current state of the market.
Dec
29
comment Nasdaq trading under the scenes: market makers, ECNs, brokers. Who buys from and sells to whom?
You can see, that your link doesn't give a rigorous definition of a market maker, rather a layman explanation. But regardless, say, on NASDAQ, those are just market participants, and their orders and trades will appear (anonymously) on the feed.
Dec
29
comment Nasdaq trading under the scenes: market makers, ECNs, brokers. Who buys from and sells to whom?
For NYSE, it's semantics: the specialists = the market makers. Read this: nyse.com/publicdocs/nyse/markets/nyse/… For NASDAQ, if by the MM you mean someone, who is legally obliged to have a 100 share quote there, then you are wrong. Did you see that your link with "participants" is dated 2002?