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2d
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?
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?
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.
Sep
16
comment Do people hedge with leveraged ETFs intraday? How?
Thanks, I am aware of the issues around the close / overnight rebalance. But I think it's not that easy even if you want to hedge, say, till 2pm.
Aug
4
comment Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
check with IEX :)
Jul
29
comment Why are we obsessed over normalizing financial data?
cause otherwise you can't compare it?
Jul
25
comment Ito integral approximation by Euler?
seems legit: en.wikipedia.org/wiki/Euler%E2%80%93Maruyama_method
Jul
9
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
For the first, in the original formula $T$ is not inside the summation. The sum has $N$ terms, so instead of subtracting T from the sum, you can subtract T/N from each term. For the second part - $E(\Delta z_i^2) = T/N$, so your second term is $-2 T^2/N^2,$ so the whole thing under the summation sign adds nicely.
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
hmm, where do I miss $T/N$?
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
Judging by the addendum you've made to your answer after reading mine, it's pretty clear to you, how it relates to the question. I'll expand if I have time and there is interest.
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
no, the last asymptotic is from the law of iterated logarithm. Will try to find a good reference.
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
@vonjd: no, "i.e. ..." part is wrong. You don't square a martingale, you square the sum before the limit, and the whole point is that 1) it converges 2) only if it's the second power. And both parts are manifestations of CLT.
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
This explain neither convergence, nor why square is the right power. It's really CLT for a random walk.
Jan
10
comment Book on market microstructure
Out of curiosity, what's so HFT oriented there?
Dec
30
comment How to interpret beta meaningfully?
Just wanted to finish your logic to the complete answer: using the formula for beta above, one can see, that beta(A, relative to B) * beta(B, relative to A) = correlation between A and B. So one shouldn't expect them to be inverse of each over. In your example it just means, that the correlation between the returns is sqrt(0.48 * 0.74) ~ 0.59.
Sep
24
comment Trader's identity in a limit book
@ CharlesM (cntd): You can look at the time gaps between consecutive trades on the feed. What you will see in the statistics, is that there will be a number of events with very small/no gaps, and the rest - with significantly larger gaps. This way you figure out for the reasonable threshold. @chrisaycock: there is no such thing, as "the same time", and I think it's extremely unlikely, that NASDAQ will receive several separate orders within 1 nanosecond.