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seen Jul 23 at 7:15

Feb
22
awarded  Commentator
Feb
22
comment Why would a trader quickly flicker an order immediately preceding a tick away?
I read the Price Sliding Factsheet. It mentions "Price to Comply orders that are automatically re-entered by their OUCH port will maintain priority among other similarly price slid orders, but are not guaranteed time priority over other incoming orders at the same price level". So is he trying to place orders instead of configuring the ports to replace, in order to gain time priority. How does this work? How can new orders gain time priority?
Feb
5
comment Has high frequency trading (HFT) been a net benefit or cost to society?
Thanks for the information. I am not conversant with US markets. Most info I have is from Larry Harris (Quite dated). However my 2 cents on this was that Whatever Specialists were making is now transferred to HFT/MMs.
Feb
5
answered Has high frequency trading (HFT) been a net benefit or cost to society?
Feb
5
comment Measuring co-movement at non-constant intervals
It would be better to know if two series are synchronous/asynchronous in time? If its asynchronous, then you could try using Hayashi-Yoshida estimator.
Oct
10
comment Greeks and Option Premium
I agree about the Butterfly thing, Here a,b,c for 1,-2,1. What I am asking is Would it work if we made a linear combination of options for premiums and delta and other greeks and check which greeks can be maximized by solving these equations. Maybe just take positions for maximizing Speed or Vomma or any other greek.
Oct
10
comment Greeks and Option Premium
Sorry about not making it clearer - If the option is sold, then Premium is recd and positive and if it is sold, then premium is given and negative. So that takes care of the sign issues. Else we can use real numbers instead of integers but not together.
Oct
9
asked Greeks and Option Premium
Oct
9
awarded  Supporter
Oct
6
comment Pair Trading Index Options
I agree to what you are saying. But then if this is the case, i.e. managing them as conditional spread, how can one manage it? Is there any paper that I can refer to?
Oct
5
comment Pair Trading Index Options
So imagine that one index is Russel 3000 and other is Russel 1000. (The Russell 1000 represents approximately 92% of the Russell 3000 Index.) So these will track each other by construction. But this basis will be quite random. How does one handle that?
Oct
5
comment Pair Trading Index Options
The problem is with Delta management. So if the indices are trading around the same levels, and the options that I have bought on Index X and sold on Index Y, when the (Index X - Index Y) basis of say 10 points, now they move to a basis of 13 points. How do i manage that? That is something which will move the deltas. Does that clarify the scenario?
Oct
5
awarded  Student
Oct
5
comment Analyzing tick data
To Quote RTAQ manual "The Trades and Quotes data of the New York Stock Exchange is a popular input for the implementation of intraday trading strategies, the measurement of liquidity and volatility and investigation of the market microstructure, among others. This package contains a collection of R functions to carefully clean and match the trades and quotes data, calculate ex post liquidity and volatility measures and detect price jumps in the data". It will help you calculate periodicity, create aggregate bars, trade direction using Lee-Ready Algo, Covariances, Multiple Exchanges.
Oct
5
asked Pair Trading Index Options
Oct
5
answered Analyzing tick data