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  • 0 posts edited
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  • 59 votes cast
Sep
10
comment why is there a cancel/replace message in FIX?
do you know a venue, that would keep your priority in the book when doing cancel-replace?
Sep
9
comment How to forecast high-frequency data?
It doesn't really matter what you do, a question "how to predict stock prices" = "how to make money". Your feedback is meaningless, unless, you specify how do you apply your forecasting techniques. E.g. I would suspect that linear regression doesn't work for you not because it's a bad tool, but because you apply in it a wrong setting. Finally, to the best of my knowledge, most of academic research assumes some martingale condition for stock prices, which implies no forecasting. If you are not in this setting, it may be useful to specify your assumptions.
Sep
9
comment How to forecast high-frequency data?
why would anyone in his right mind tell you how to predict, say, stock prices?
Aug
27
comment HFT to blame for Flash Crashes?
@ meh, you don't need to know in advance - if he is buying, you'll tighten the spread with more agressive bids.
Aug
27
comment HFT to blame for Flash Crashes?
@BobJansen I think the burden of proof/research is on your side. Can you give at least one example, when you saw market makers collectively pulling out the quote to exacerbate volatility, and NOT as a response to a higher volatility? If not, your "what if.." scenarios are more of a science fiction.
Aug
27
comment HFT to blame for Flash Crashes?
@meh Not buying: if you KNOW, that he has more information, you'll immediately tighten the spread in the direction of his trades, so on macroscopic level everyone will see the same tight spread, just at a different price.
Aug
26
comment HFT to blame for Flash Crashes?
I wouldn't take anything from ZeroHedge or M. Cuban on HFT seriously.
Jul
7
comment Orderbook Arbitrage
I thought, "share trading strategies with me" types of questions are discouraged here.
Jun
29
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.
Jun
29
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.
Jun
29
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.