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visits member for 2 years, 9 months
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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
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?
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.
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.
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
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?
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?
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".
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