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seen Feb 4 '12 at 14:36

Nov
24
comment How to vet an intraday strategy
if you are making 1 cent per trade, you are effectively scalping, no amount of market data or simulation would be able to determine your fill ratios. a pessimistic way to backtest would be eg: if you are buying at $1 you will only be considered as filled if the traded price goes below $1.
Oct
27
comment Why does the following data fail my cointegration test?
An added point, I noticed that you didn't check if each of the time series are I(1). You might want to do that otherwise the co-integration behaviour could be spurrious.
Oct
24
comment Choice of prior as a shrinkage target in portfolio construction?
and by minimum variance portfolio, it would mean a portfolio of risk free bonds?
Oct
24
comment Why do some anomalies persist while others fade away?
at a glance, the difficulty of exploiting long horizon over-reaction or under-reaction includes the quantifying of entry, exit price levels and holding periods, especially in an environment where news is continuous and may compound the previous under-over reaction. correct me if I am wrong, wouldn't the classification of over and under reaction be post fact.
Oct
24
comment Why do some anomalies persist while others fade away?
That's a good angle too, although I was meaning to say it is not in the employee's best interest to tell his co-workers that he invoked his sick leave to play golf, just as it is not in the best interest of an prop trader to tell us which anomalies are most profitable. Will read up on long-horizon overreaction thanks.
Oct
24
comment Are there financial instruments that make a bet on traded volume instead of price or its derivatives?
I agree,for the sake of discussion, how would something like that be achieved on an intra-day basis?