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Dec
6
comment Single Most Important Fact about a Fund - Interview Question
Sometimes the return of your money is more important than the return on you money.
Nov
22
comment Can I trade the volume of a security or index?
Don't think you'll get any decent pricing for this. Given the use case, best bet for that use case is var/ vol swaps as chrisaycock mentioned. Or you could try replicating payoffs with option strips.
Nov
22
comment Can I trade the volume of a security or index?
Out of curiosity, what are the potential use cases for such a product?
Oct
30
comment HFT: What is the big differentiator in comparison to other time scales?
How do you determine holding time $\tau$ especially in the context of illiquid securities where signed order volume may exhibit strong autocorrelation.