Reputation
525
Top tag
Next privilege 750 Rep.
See votes, expandable usercard
Badges
2 8
Newest
 Informed
Impact
~16k people reached

  • 0 posts edited
  • 0 helpful flags
  • 41 votes cast
11h
comment Orderbook Arbitrage
I thought, "share trading strategies with me" types of questions are discouraged here.
Jun
29
comment If I have found a way to predict stocks trend with 58% accuracy, is it good?
you are right, - I've overlooked the part about technical analysis in the question.
Jun
29
comment If I have found a way to predict stocks trend with 58% accuracy, is it good?
OK, so what? Don't see how it contradicts my scenario.
Jun
29
comment If I have found a way to predict stocks trend with 58% accuracy, is it good?
what if she is doing HFT? My understanding is that with 58% accuracy forecast, she will retire rich long before your "long term" will expire.
May
21
comment Negative high frequency intraday volatility - Zhou estimator
I am saying, that the term you are worried about is not the whole volatility estimate, but rather a correction. And for large $N$ this term (even when negative) won't make your volatility estimate negative.
May
21
comment Negative high frequency intraday volatility - Zhou estimator
if $Q > 0$ and $N$ is large, $Q + C/N^{1/2} > 0,$ right?
May
14
comment Machine learning to build top 3 price scenarios over n days
It's very easy: either it will move up, or down, or will stay roughly the same. See, no ML needed.
Apr
29
comment Is a stationary process necessarily mean-reverting?
Thanks for the reference to the paper. It's very helpful - I wasn't aware of this phenomenon.
Apr
28
comment Is a stationary process necessarily mean-reverting?
Is it obvious, that this process is well-defined for all t > 0? Otherwise, I wouldn't call it a legit counter-example.
Apr
24
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