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  • 0 posts edited
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  • 40 votes cast
1d
comment If I have found a way to predict stocks trend with 58% accuracy, is it good?
you are right, - I've overlooked the part about technical analysis in the question.
2d
comment If I have found a way to predict stocks trend with 58% accuracy, is it good?
OK, so what? Don't see how it contradicts my scenario.
2d
comment If I have found a way to predict stocks trend with 58% accuracy, is it good?
what if she is doing HFT? My understanding is that with 58% accuracy forecast, she will retire rich long before your "long term" will expire.
Jun
3
answered Impact on bid/offer due to volume/size of trades placed
May
21
comment Negative high frequency intraday volatility - Zhou estimator
I am saying, that the term you are worried about is not the whole volatility estimate, but rather a correction. And for large $N$ this term (even when negative) won't make your volatility estimate negative.
May
21
comment Negative high frequency intraday volatility - Zhou estimator
if $Q > 0$ and $N$ is large, $Q + C/N^{1/2} > 0,$ right?
May
21
answered Negative high frequency intraday volatility - Zhou estimator
May
14
comment Machine learning to build top 3 price scenarios over n days
It's very easy: either it will move up, or down, or will stay roughly the same. See, no ML needed.
Apr
29
comment Is a stationary process necessarily mean-reverting?
Thanks for the reference to the paper. It's very helpful - I wasn't aware of this phenomenon.
Apr
28
comment Is a stationary process necessarily mean-reverting?
Is it obvious, that this process is well-defined for all t > 0? Otherwise, I wouldn't call it a legit counter-example.
Apr
24
comment US options market/microstruture research
I disagree. Basic or not, I too would love to see references for good papers and surveys on market microstructure in options from specialists in the field.
Apr
16
comment Determination of Quote / Trade Ratio
your definition of a quote is different from his.
Apr
14
comment How to evaluate a success rate of a trading strategy
ic. If you counted volume in winning transaction, it would help? E.g. for both A & B there are 10 winning shares / 20 total, no matter how you split it.
Apr
13
comment How to evaluate a success rate of a trading strategy
It's not clear to me, what are you trying to solve. E.g. in your example A vs B, what conclusion would your ideal evaluation method give?
Apr
2
answered Free source of historical ETF units outstanding data?
Mar
24
comment possible to estimate if hard-to-borrow?
Liquid leveraged ETFs (SDS, FAZ etc) will pass your filter and still may be hard to borrow on certain days. I'd remove those, and, probably, VXX - related family of ETFs.
Feb
25
comment How to approximate the time to mean reversion for implied volatility
out of curiousity, - for VIX, you can, probably, get a much better estimate of the long term mean by looking at futures term structure, right?
Feb
25
answered Why is Brownian motion merely 'almost surely' continuous?
Feb
25
awarded  Informed
Dec
1
comment What to do when I do not get enough fill in cash leg during cash - future arbitrage
Depends on how you get into the spot.