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Jun
27
comment If I have found a way to predict stocks trend with 58% accuracy, is it good?
@vonjd I don't know where you're getting the time horizon and buy-and-hold from. I could know for sure (100% accuracy) that price will be higher within n time steps and I would still not necessarily profit from it because my execution time is n + epsilon. I can always find some epsilon such that this is trivially true regardless of the time horizon of the 'trend' we are talking about.
Apr
19
comment Order routing: correlation of having same exchange for buy and sell
You're welcome.
Apr
19
comment Order routing: correlation of having same exchange for buy and sell
@Jean-Paul No problem. I edited my response to accommodate your extended question.
Mar
13
comment Where can I find literature (books, articles, etc.) about basic HFT / arbitrage strategies?
I was on the same Putnam team with some of the notable figures at Rentec today, not sure where you're commenting from.
Oct
27
comment Build a customizable trading engine in python
I also don't see why you can't do event-based processing in Python. You can write a TCP/IP stack in vanilla CPython if you wanted to, surely that's fast/robust enough considering some traders are using subpar trading platforms that don't even support basic order types such as HNS?
Oct
27
comment Build a customizable trading engine in python
I don't see why parallelization is an issue either. The GIL in Python leans towards a multi-process rather than a multithreading paradigm for parallelization, but there's no reason to prefer the latter over the former.
Oct
27
comment Build a customizable trading engine in python
I disagree on your latter statement: Python is more mature than say, Haskell (Tsuru, StanChart), Erlang (GSET) or OCaml (Jane St), so certainly, maturity isn't an issue.
Oct
26
comment How do exchanges make money?
Moderators, why aren't you deleting the above comments? They're off-topic; it clearly derailed the topic; and the author obviously had no intention of contributing to this question because he has deleted most of his comments following this. It's rude and offensive for claiming that I'm dishonest - a personal attack that I've proven false, especially considering that I've debunked all of his allegations in the subsequent comments (that he deleted).
Oct
23
comment What would be considered a good/competitive throughput for a FIX engine?
A good throughput is purely opinion-based. Throughput on its own is a meaningless number anyway. And to the majority of users, standard QuickFIX performance would be considered "good".
Oct
23
comment What would be considered a good/competitive throughput for a FIX engine?
If you have a client, a good throughput depends completely on your service level agreement with your client. If you're just writing this for yourself (which appears to be the case from your history of questions), use the search function, there's been many similar questions/answers before this.
Aug
27
comment What software should I use for forex arbitrage?
Because in FX, you're only as fast as your dealer/credit counterparty lets you be. Sierra has a far stronger software development team than NinjaTrader, from what I know.
Aug
27
comment Algorithm to detect the aggressor side of a trade
@Serg: Yes, that is what I understand you're looking for.
Aug
13
comment Starting mathematics reading for quants
Not you two, silly. :)
Aug
13
comment Starting mathematics reading for quants
@athos / 1234 - Unfortunately, I hadn't come from a credit trading background. However, Tuckman and Serrat's book discusses credit default swaps, credit risk of corporate bonds and spreads and Veronesi's book briefly touches on collateralized mortgage obligations. Mike - My colleague asks me to say hi. (:
Aug
5
comment Starting mathematics reading for quants
Equity options are probably the most thoroughly-covered among financial engineering texts so I think the 4 books I've recommended cover most of the introductory reading that you need. In addition to that, perhaps you could take a look at Rebonato's Volatility and Correlation, and Sinclair's two books.
Aug
5
comment Starting mathematics reading for quants
For interest rates... Rebonato has two books - Modern Pricing of Interest-Rate Derivatives and Interest-Rate Option Models. I would also look at Pelsser's Efficient Methods for Valuing Interest Rate and James & Webber's Interest Rate Modelling.
Aug
4
comment Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
You said it yourself: "I am looking for a data vendor that provides streaming delayed market depth data. Typically, the delay must be 15 min. to avoid exchange costs." You're simply asking for free data that takes advantage of this workaround. Again, I am unconvinced that this is on-topic and still vote to close this question.
Jul
7
comment Which is the correct definition of arbitrage?
@BCLC: Sorry, I thought you were asking about my response. Yes, for your initial question, I would see the first as deterministic and the latter as statistical. However, the lines are very blur here though and I'd avoid making that distinction unless required of you - the academic school of thought behind both definitions in your question generally doesn't distinguish between statistical and deterministic arbitrage, so what they really meant in those definitions was that the 1st is a stricter condition than the 2nd.
Jul
7
comment Which is the correct definition of arbitrage?
First case, 1 ticket: statistical. Second case, all tickets: deterministic.
Jul
7
comment 2 stocks, no shorting vs shorting. (concrete questions, mean-variance)
@user9482 Sure, if you have a budget constraint and no access to leverage, then the hyperbola will be cut off at some finite limit. But the answer that you are seeking is still at max $\sigma_{p}^2$ and should have no more than 2 trivial solutions - there seems no sensible purpose for this besides illustrating the basic tenet that "more risk, more reward".