Palace Chan's user avatar
Palace Chan's user avatar
Palace Chan's user avatar
Palace Chan
  • Member for 12 years, 5 months
  • Last seen more than 3 years ago
33 votes
5 answers
11k views

What exactly is meant by "microstructure noise"?

18 votes
2 answers
2k views

From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?

11 votes
5 answers
17k views

Quick way to check what 'tape' a stock belongs to?

7 votes
1 answer
3k views

What exactly is an ISO order?

7 votes
3 answers
891 views

Why is random trading minus transaction costs not zero expected value?

6 votes
1 answer
2k views

Understanding Passive Rebate Arbitrage

6 votes
1 answer
467 views

With there being such a high demand for electronic trading or just trading in general why are market hours so limited?

5 votes
1 answer
399 views

Resources to read more about/learn how implied pricing works

5 votes
1 answer
10k views

Where can I find some examples of high frequency or stat arb trading algorithms beyond basic textbook pairs trading?

5 votes
2 answers
601 views

What does ABBO (Away best bid and offer) refer to?

4 votes
1 answer
460 views

What is a good source to learn the different nuances of electronic orders and their nature?

4 votes
0 answers
598 views

Algorithms for predicting a couple points in the future

2 votes
2 answers
213 views

What are the proper metrics to look at for checking discrepancies in these two time series

2 votes
2 answers
163 views

If you try to capture short term delta by anticipating moves in the underlying, why would vega pnl be so bad?

2 votes
0 answers
39 views

Helpful references for fully understanding the mechanics of NASDAQ's auction system?

1 vote
0 answers
43 views

Are the returns in this regression signed returns?

1 vote
0 answers
495 views

How to hedge an ETF position with a basket of its underlying components

1 vote
0 answers
20 views

Factors affecting magnitude of responsiveness to acquisition announcements?

1 vote
0 answers
44 views

Equivalent constructions of risk budgeted portfolios?