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3

ML is a very broad term. Do you mean linear regression? To you mean random forests? People use all of these approaches with various degrees of success. Bloomberg will have a story every few months about a big quant/ML fund starting or being shut down. PCA specifically is used quite a bit in fixed income to model the underlying characteristics of fixed ...


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You can use the adjusted close price; it is far better than using unadjusted prices and having your strategy tell you to short a stock on its ex-dividend days. The bigger issue is using closing prices -- adjusted or unadjusted. Closing prices are determined by an auction and the presence of your order in the auction will change the auction price. Furthermore,...


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Tautolotigally, a stock holder receives the dividend if they're the stock holder of record on the record date. Even if your trading strategy assumes that you will put on some position at the beginning of the day and then always flatten before the close, keeping no risk overnight, whatever information is contained in the return series assumes that somebody ...


3

There is more than one way to approach this. Given your comment that this is a small strategy in a larger account, I assume that you are testing it and, if it bears enough fruit, you may want to scale it up. You should assume some starting value. I'm going to assume a number that's equal to your initial nominal value (as you requested in your comment). ...


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No, the problem has to do with block trades. Imagine you place a day order to purchase 10,000 shares of ABC, limit 100. Sellers come along offering 98.00x100, 99x100 100x100, 101x500, 102x1000 and all future prices are above 102. Now, also imagine that your order was taken "off the tape," so that quotations continue properly. Your order was made ...


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I've been led to believe that sometimes trades are executed within a broker if the broker has two clients whose orders match up, and such trades never actually go to the exchange. If you are referring to crossed trades, the execution does indeed take place off exchange but it must be reported to the exchange. But what I want to see is a list of all the ...


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It sounds like your best bet is to get data from the consolidated tape system. Tape A covers NYSE-listed securities; Tape B covers AMEX-listed securities; and, Tape C covers Nasdaq-listed securities. Tapes A and B are overseen by the Consolidated Tape Association; and, Tape C is overseen by the Nasdaq/Unlisted Trading Privileges Plan. Data from these three ...


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