LazyCat

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	390 reputation	bio	website		visits	member for	1 year, 7 months
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Dec 21	comment	Most natural generalization of covariance/correlation to model dependence of extreme events Agree with vanguard2k as well. They may not give you what you want, but they are well defined as long as 2nd moment is finite.
Sep 14	comment	Evaluating forecasting algorithm What's the problem? - if your forecast tells the price will go up, assume you buy, if it tell in will go down, short
Aug 16	comment	Meta-view of different time-series similarity measures? I mean that if we go nitpicking, Graph Theory is not a method of analysis of time series. More seriously, I think a question about the relation between two concrete methods of analysis, similar to your example fits the board much better, than a demand for survey of all methods and their interrelations.
Aug 15	comment	Meta-view of different time-series similarity measures? Would you like to make the question more specific? E.g. what is the relation between PCA and the following method in information theory? - otherwise, as you rightly notice, it looks like a collection of buzz words and the quest for unified theory of everything.
Jul 10	comment	how do we estimate position of our order in order book? besides all other complications it depends on the exchange
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
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.
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.
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?
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.