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visits member for 2 years, 6 months
seen Apr 16 at 14:00

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
Apr
3
answered What is the minimum history data size to get an accurate EMA/ MACD for latest history point
Mar
23
answered What is the impact of high-frequency trading on market depth, liquidity, and volatility?
Mar
23
awarded  Commentator
Mar
23
comment NASDAQ TotalView ITCH order reference number number characteristics
Out of curiosity, does IC provide access to direct NASDAQ feeds to the students?
Mar
22
comment NASDAQ TotalView ITCH order reference number number characteristics
No offense, but I'll never buy that optimizing the hash map on NASDAQ's order id's is a purely academic project.
Mar
8
awarded  Critic
Jan
14
comment Is equity market making a game of speed?
"you don't need to be 'fast' per se, you just need to be about as fast as the other market makers in your stock" - in practice, this will mean you'll have to about as fast as GETCO, etc = as fast as possible.
Jan
9
comment Is equity market making a game of speed?
Still disagree: suppose you make markets on some super-illiquid stock, and keep something on the bid and ask. Now the market plummets down. Your illiquid stock is likely to follow, so you want to cancel your bid as fast as you can. If there someone who can sell you your stock between market fall and your cancel - you're screwed.
Jan
6
comment Is equity market making a game of speed?
Lower liquidity doesn't mean you don't have to be fast: if the market moves, you still want to adjust fast. Personally, I find it hard to believe, that you don't need to be fast when market making in US equities.
Jan
4
answered How to account for jumps in intraday data when calculating beta?
Dec
28
answered Which interest rate should I use for the discount rate in real-world pricing?
Dec
15
answered How to calculate historical intraday volatility?