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Apr
11
comment Accessible HTF? (Slippage reduction)
Lots of strategies "work" when slippage is ignored. On the other hand, it requires a lot of capital equipment to execute high frequency trading. Even if you could rent time on a HFT system, you would probably have to pay a higher fee than slippage.
Jan
5
comment Lagged dependent variable, yes or no?
This question probably needs to be moved to CrossValidated. Here's a similar question: stats.stackexchange.com/questions/52458/…
Jun
30
comment Multi Fractals Models
Here's a paper that is referenced in one of the above links papers.ssrn.com/sol3/papers.cfm?abstract_id=821714
Jun
30
comment Multi Fractals Models
Here are the websites for the authors of the book studies2.hec.fr/jahia/Jahia/calvet and runmycode.org/CompanionSite/site.do?siteId=18 Download the Excel spreadsheet or the Matlab code to see how the model is structured.
May
12
comment Distribution of profit/loss for retail traders in FX
Here's a related post: quant.stackexchange.com/questions/1383/…
Mar
6
comment How to distinguish between different types of algorithmic trading
I don't think it's a devaluation of human intuition. It's simply noise. "Intuition" of noise is just more noise (no different than flipping a coin). Are you willing to pay someone to sit around and flip a coin?
Mar
6
comment How to distinguish between different types of algorithmic trading
I'm assuming that you're asking about a non-retail transaction. Unless something special is taking place, there's no need for a human to be involved in the trade. The trade is already "mostly noise", so allowing a human to "decide" something raises the noise level, making things worse.
Jan
31
comment What to do with linear regression or regression splines outside of the training range?
I added an answer/link to your original CrossValidated question.
Dec
18
comment How to build an electricity portfolio for an electricity production company?
There are too many questions. I think you need to narrow it down to one question at a time. Also, you need to be more specific about where this power company is operating. In the U.S.? If so, which state. Is it publicly owned, a co-op, private? If out of the U.S., which country? When you mentioned exporting LNG, is this company buying LNG that was imported, or is the company buying from a company that also exports LNG abroad? I doubt I can answer your final question, but I think you get the idea of how much information is missing.
Jul
28
comment How to properly interpret accrued interest of bonds
Here's a worthwhile book on bonds amazon.com/The-Treasury-Bond-Basis-Arbitrageurs/dp/1557384797
Mar
22
comment Risk Parity portfolio construction
You can offset some of the "diversification" (it's diversification only if the numbers hold during high stress periods) by raising the leverage on the low volatility assets.
Dec
9
comment Why is volatility mean-reverting?
@pteetor: In my previous edit, I forgot to provide links. Sorry, I simply forgot. I added some links in my second edit.
Dec
4
comment Why is volatility mean-reverting?
@pteetor: I added my response as an edit to my answer.
Oct
21
comment In a covered call strategy, should I hold the call or sell/roll if the delta becomes too small?
You might want to show some quotes on a specific stock (with bid/ask quotes). Liquid options might give you one answer while illiquid options give another answer.
Oct
11
comment How do earnings estimates respond to changes in underlying fundamentals and economic conditions?
@Tal: As far as papers go... Until the blow up of 2000-2003, retail traders seemed to pay attention to analysts forecasts and recommendations. I haven't looked for papers documenting the die-off of that phenomenon, but from anecdotal evidence, it seems to be gone. It may now show up in a different form. I'll do some more looking and post anything I find.
Oct
11
comment How do earnings estimates respond to changes in underlying fundamentals and economic conditions?
@Tal: All I can say is, try it for a while. You won't have to wait long. Keep your own version of the "Detail History" (quarterly should be good enough) and watch the Exclfil* file closely. When it changes, e-mail IBES and ask why, and ask if it affects the composite earnings forecast.
Oct
11
comment How do earnings estimates respond to changes in underlying fundamentals and economic conditions?
@Tal: That wasn't a tirade against IBES, I simply linked a couple of papers. As stated above, the analysts may be the issue, not earnings.
Sep
30
comment Fitting a generalized logistic distribution
I was looking at the partials in the following link, trying to set up a Jacobian, and noticed some differences in the form of your equation and their equation. Is there a reason for the differences (for example, the 1/v term)? en.wikipedia.org/wiki/Generalised_logistic_function
Sep
30
comment Fitting a generalized logistic distribution
Assuming that you're recalculating the Jacobian Matrix over and over, have you watched the Jacobian to see if it has any spikes or unstable swings from positive to negative? If so, you might look into "clamping" the matrix values to be within reasonable ranges.
Sep
9
comment What tools exist for order book analysis and visualization?
@Louis, Same authors, same general description, you're probably right.