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| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year, 8 months |
| seen | Jun 9 at 3:19 | |
| stats | profile views | 26 |
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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? |
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Mar 22 |
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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. |
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Mar 8 |
awarded | Critic |
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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. |
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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. |
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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. |
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Jan 4 |
answered | How to account for jumps in intraday data when calculating beta? |
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Dec 28 |
answered | Which interest rate should I use for the discount rate in real-world pricing? |
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Dec 15 |
answered | How to calculate historical intraday volatility? |
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Nov 23 |
comment |
How to vet an intraday strategy To echo strimp099: can you tell at least is it US equities, futures, forex? Do you trade at midprice? |
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Nov 8 |
awarded | Supporter |
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Nov 6 |
comment |
Can binary model lead to non-normal distribution? Tal: what's the precise statement? barrycarter: if you're asking, are there simple fat-tailed distrtibutions with a large basin of attraction, that appear in finance, then the answer is probably, no. |
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Nov 1 |
comment |
Where are creation units baskets for ETFs published? I don't, but at least index ETF's in equities often do list all the holdings (how many shares of what it currently holds) on their webpages. Knowing that, and a total number of shares outstanding, you can get a good estimate of the creation unit. |
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Oct 30 |
answered | Where are creation units baskets for ETFs published? |
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Oct 26 |
awarded | Teacher |
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Oct 26 |
answered | When does an ETF take out expenses? |
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Oct 19 |
comment |
Historical S&P 500 Stock Weights You're unlikely to find this data for free. Market cap thing is doable, but it depends on the precision you need. E.g. you'll have to account for different share classes, etc. Another good approximation would be SPY weights, which you can find on Bloomberg, as well as StateStreet webpage. |
