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  • 0 posts edited
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  • 22 votes cast
Mar
19
comment Historical Level 2 Data (Market Depth)
Collecting the data yourself also means decoding the native exchange formats. Depending how many exchanges you need, this goes a long way from buying normalized data from vendors.
Mar
15
comment Historical Level 2 Data (Market Depth)
I wonder how automatedtrader.net is able to sell native exchange data. Each exchange sells its own historical data and usually they are very restrictive about the distribution rights. You might want to compare those 3rd party prices against the exchange offer.
Feb
10
answered What is a good broker for HFT?
Jan
5
answered Has high frequency trading (HFT) been a net benefit or cost to society?
Jan
5
awarded  Teacher
Jan
5
comment How to vet an intraday strategy
Many questions in the same thread, why don't you split this?
Jan
5
answered How to vet an intraday strategy
Jan
4
comment How to account for jumps in intraday data when calculating beta?
@silencer Are you calculating beta to fit a model or to hedge a portfolio? In the first cast I would tend to smooth data less. Also, are you holding positions overnight?
Jan
4
awarded  Commentator
Jan
4
comment How to account for jumps in intraday data when calculating beta?
@chrisaycock What moving average window would you suggest? At 15 minutes per period, there is only 26 periods/day.
Jan
3
accepted How to improve the consistency of explained variance statistics in a linear equity model?
Jan
3
comment How to improve the consistency of explained variance statistics in a linear equity model?
Thanks, I will look further and post an extra answer if I make any progress.
Jan
3
revised How to improve the consistency of explained variance statistics in a linear equity model?
Rephrased question. Removed references to beta neutralization.
Dec
31
comment How to improve the consistency of explained variance statistics in a linear equity model?
I've found this thread about Beta. gappy argues against using daily Beta values to higher-frequency series.
Dec
31
comment How to improve the consistency of explained variance statistics in a linear equity model?
I read the link, it's an example of over-fitting. What do you mean by never look at in-sample statistics? How do you build your model terms and coefficients?
Dec
31
comment How to improve the consistency of explained variance statistics in a linear equity model?
About CAPM, usually it's applied to longer-term models, EOD at least from what I read. Can Fama/French factors or APT be applied to a 1-minute time-series model? Are there factors that more relevant for high-frequency?
Dec
31
revised How to improve the consistency of explained variance statistics in a linear equity model?
edited body
Dec
31
asked How to improve the consistency of explained variance statistics in a linear equity model?
Dec
20
awarded  Supporter
Dec
20
accepted Linear regression and assets direction prediction