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Jun
17
comment At what volume would you move the price at the opening auction?
I don't even understand the question. Do you mean how to measure the price impact of an order at the opening, conditional on its size? What is you reference price?
Jun
22
comment Position management in presence of continuous forecast
A paper on inventory management: arxiv.org/abs/1206.4810
Jun
17
comment Position management in presence of continuous forecast
If the strategy provides liquidity and doesn't cross the spread too often, then it shouldn't incur too much cost, even when trading continuously. By waiting the end of the period, the strategy is bypassing all the opportunities that might rise during the previous signal window.
Jun
15
comment Position management in presence of continuous forecast
Ideally I would like each signal to be independent, because that's how the model was developed. Also I think it makes sense to continuously aggregate positions for a liquidity providing strategy: by entering long and short orders every second the net position should revolve around flat. How about maintaining two separate long and short position targets with a time expiration? $t_{60},...t_{65}$ would have a short position target 100 as a result of the second short signal and a long position target 0.
Jun
15
comment Position management in presence of continuous forecast
@QuantGuy Each signal is independent. It does not depend on prior signals.
Jun
15
comment Position management in presence of continuous forecast
@QuantGuy Added extra information at the end of the question.
Apr
20
comment How are limit orders selected from the order book?
Thanks, it's very clear from the fact sheet that DMM and floor brokers have a time priority privilege.
Apr
20
comment How are limit orders selected from the order book?
I know, basically DMM and floor brokers have an unfair advantage compared to everybody else (DOT) because their time priority is only relative to other floor brokers. I thought the privilege was only granted to DMM "to maintain a fair and orderly market".
Apr
19
comment How are limit orders selected from the order book?
I knew about the NYSE DMM "parity" rule, but didn't realize it also involves the first-come floor broker order. Is it still the case?
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.
Jan
5
comment How to vet an intraday strategy
Many questions in the same thread, why don't you split this?
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
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
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.
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
20
comment Linear regression and assets direction prediction
Yes, that's what I was suspecting with my partial understanding of logistic regression. But let's stretch my question a bit: what if I wanted to fit a model for different return targets rather than just an up or down outcome. Would I have to run a logistic regression for each target level and then compare each r-squared or are there SEMs that can solve for the best return target (in the variance sense) and direction?
Dec
19
comment Time series price prediction and linear regression: using high/low rather than last quotes price
One problem I have with VWAP data is that for some intervals (1 minute in my case) the asset hasn't traded at all. I could discard those observation from the study, but I actually see quotes mean reversion as a validation of the hypothesis.