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seen Nov 25 at 19:14

Apr
26
comment How do I graphically represent the evolution of a covariance matrix over time?
This appoach could be use if we first make cluster analysis, and then make minimum spanning tree for cluster centres. Beyond that change in spanning tree structure could be view as evidence of some "topological" changes in market structure.
Apr
26
comment Why do high frequency traders use rapidly cancelled limit orders?
+1 how lagging by targeted quote-stuffing create arb to opportunities ? and where could I read about "mapping the topology of the exchange servers" by quote-staffing ? this is very interesting
Apr
26
comment Why in general is the variance of volume changes higher than variance of price changes?
@babelproofreader that is good question
Apr
26
comment Why in general is the variance of volume changes higher than variance of price changes?
Could you write more about it, are there any research about shape of function f(x) that : (delta_Price)^2=f(delta_Volume) ? local depth of the market have to be accounted somehow
Apr
26
awarded  Supporter
Apr
26
revised Why in general is the variance of volume changes higher than variance of price changes?
added 134 characters in body
Apr
25
awarded  Student
Apr
25
answered Does random matrix theory (RMT) for returns' correlation matrices apply if there are high correlations?
Apr
24
comment How to quickly estimate a lower bound on correlation for a large number of stocks?
What is the upper bound on that correlation ?
Apr
24
asked Does the correlation amongst stocks rise when stock values decline?
Apr
24
asked Why in general is the variance of volume changes higher than variance of price changes?
Feb
12
comment Measuring liquidity
Do you know any details of making of that chart od Nanex - is each colour a percentage of depth for given price level ? or mayby it's depth measured by quantity of assets ?
Feb
12
awarded  Editor
Feb
12
revised Is there any measure that is a non-trivial combination of VWAP and TWAP?
change of V_i into V_T
Feb
12
suggested suggested edit on Is there any measure that is a non-trivial combination of VWAP and TWAP?