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  • 0 posts edited
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  • 42 votes cast
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.
Aug
26
comment HFT to blame for Flash Crashes?
I wouldn't take anything from ZeroHedge or M. Cuban on HFT seriously.
Aug
14
comment Why Doesn't my Limit Order Appear in the Order Book?
There may be 1000s of reasons, I'd first check that it indeed reaches the market you're trying to trade at. Also it would help, if you specify where are you sending it, and with what flags.
Jul
7
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?