Reputation
566
Top tag
Next privilege 750 Rep.
See votes, expandable usercard
Badges
3 8
Newest
 Enthusiast
Impact
~20k people reached

  • 0 posts edited
  • 0 helpful flags
  • 59 votes cast
Jan
25
comment Estimating Daily Dynamics using Hourly Data
Depends. What if one instrument trades after-hours and the other one doesn't. Or both don't trade much, and the spread widens a lot, etc. In my experience, it's not a good idea to mix hourly/minute date during trading hours and after. But as said, there should be a way to do it right.
Jan
25
comment Estimating Daily Dynamics using Hourly Data
This is not to confirm, that it's not possible, but to note it's a bit different. While daily data is uniform within a month, hourly data within 24hr is certainly not: there are trading hours, and the rest, which you'll somehow have to treat differently.
Dec
31
comment What are the canonical global-macro investing books?
I'll be surprised if you get an answer on the level you've specified. On a more general level I've enoyed "Inside the House of Money", and Dalio's notes on "how economy works".
Dec
29
comment Nasdaq trading under the scenes: market makers, ECNs, brokers. Who buys from and sells to whom?
those are a lot of questions for a comments section. Just find some up to date overview of market microstructure in US equities. This forum is well suited to answer concrete questions, but not to give an overview of the current state of the market.
Dec
29
comment Nasdaq trading under the scenes: market makers, ECNs, brokers. Who buys from and sells to whom?
You can see, that your link doesn't give a rigorous definition of a market maker, rather a layman explanation. But regardless, say, on NASDAQ, those are just market participants, and their orders and trades will appear (anonymously) on the feed.
Dec
29
comment Nasdaq trading under the scenes: market makers, ECNs, brokers. Who buys from and sells to whom?
For NYSE, it's semantics: the specialists = the market makers. Read this: nyse.com/publicdocs/nyse/markets/nyse/… For NASDAQ, if by the MM you mean someone, who is legally obliged to have a 100 share quote there, then you are wrong. Did you see that your link with "participants" is dated 2002?
Dec
29
comment Nasdaq trading under the scenes: market makers, ECNs, brokers. Who buys from and sells to whom?
Maybe, I wasn't clear, but, since MMs post on the lit exchanges they quote to everyone, and are willing to trade against anyone.
Nov
3
comment Why is the value of the VXX ETN always above short-term VIX futures prices?
@AlexC: what do you mean by "price LEVEL"? If that's just the price of the instrument, then why is it not related to futures price (properly normalized) at all?
Oct
21
comment Impact / slippage model for open and closing crossing auctions?
Two points: first, the imbalances are not printed till some time near the close (3:45pm for NYSE, 3:50pm for NASDAQ, if I recall correctly). So if you enter your order before that, no one sees it, and there is zero immediate impact. Second, once available, these imbalances have a strong impact on the market. So you may look at their historical sizes, say, on stock by stock level, and make sure you don't send too large orders there.
Oct
20
comment Impact / slippage model for open and closing crossing auctions?
I am no expert in these models, but my impression was that they require certain continuity in time, like being able to trade for the next X hours/minutes for the impact to take place. In case of a closing cross, it's an 1 time event - you submit your order to the cross, and get filled at the close. I don't think it's a matter of picking your params, you need a completele different approach, starting with what you really mean by an impact of the order submitted to the closing cross.
Oct
15
comment How to hedge an ETF position with a basket of its underlying components
I could try to explain why they shouldn't cancel (hint: components are orthogonal), but I just know from experience they don't.
Oct
15
comment How to hedge an ETF position with a basket of its underlying components
Yeah, I just don't see how it can work: the first component will have a non zero weight for every basket stock, and these weights will never cancel out...
Oct
15
comment How to hedge an ETF position with a basket of its underlying components
@bushmanov: not sure I understand. So you take, say, the 1st principal component. It will give you weights for ALL the basket component. Then what? How do you pick a smaller basket?
Sep
10
comment why is there a cancel/replace message in FIX?
yeah, I was curious if there are venues, that allow to increase the quantity without loosing the priority.
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.