New answers tagged quant-trading-strategies
1
vote
Market Makers how can they sell an asset they don't have
Too long for a comment, just adding a little historical color to the other good answers.
After the 2007-2008 Global Financial Crisis), many U.S. market makers became subjected to the "Volcker ...
- 11.9k
2
votes
Market Makers how can they sell an asset they don't have
Most market makers keep some inventory. Just like a supermarket has a stock of food ready to sell. I don't think you can call yourself a market maker and have zero inventory at all times. But it may ...
- 10.9k
1
vote
Market Makers how can they sell an asset they don't have
Securities borrowing and lending via the repo market. If the bank doesn't own the bond, it can borrow the bond post sale and deliver it in a certain time frame to the buyer at the agreed price.
...
- 331
1
vote
Accepted
Trade Impulse signal
No, this is the spread in price units. You can checksum that this is what the author intended from the later statement, which shows that book pressure and trade impulse are in price units in order for ...
- 2,368
1
vote
Accepted
Multi level micro price
Naive way of doing it: weight each price by the depth of the opposing side.
$$\text{p}\left(n\right){\displaystyle =}\dfrac{\sum_{i=0}^{n}\left(s_{b,i}p_{a,i}+s_{a,i}p_{b,i}\right)}{\sum_{i=0}^{n}\...
- 2,368
0
votes
Statistical Arbitrage, Avellaneda & Lee - Estimation of the Residual Process
From memory they assume that the sum of residuals is a mean reverting process, whereas your code assumes a random walk in the residuals + no correlation between the stock and ETF return process. I ...
- 749
Top 50 recent answers are included