User Palace Chan - Quantitative Finance Stack Exchange

Palace Chan

Member for 12 years, 2 months
Last seen more than 3 years ago

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19 Questions

Score Activity Newest Views

33 votes

5 answers

11k views

What exactly is meant by "microstructure noise"?

asked Nov 11, 2011 at 18:51

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?

asked Jan 25, 2012 at 22:23

11 votes

5 answers

17k views

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

asked Feb 19, 2013 at 20:19

7 votes

1 answer

3k views

What exactly is an ISO order?

asked Apr 25, 2013 at 18:22

7 votes

3 answers

882 views

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

asked Nov 17, 2012 at 8:05

6 votes

1 answer

2k views

Understanding Passive Rebate Arbitrage

asked Dec 7, 2012 at 12:05

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?

asked Jul 12, 2012 at 20:30

5 votes

1 answer

356 views

Resources to read more about/learn how implied pricing works

asked Jan 8, 2013 at 7:00

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?

asked Mar 8, 2012 at 19:58

5 votes

2 answers

590 views

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

asked Jul 11, 2012 at 14:15

4 votes

1 answer

456 views

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

asked Jun 12, 2012 at 3:42

4 votes

0 answers

596 views

Algorithms for predicting a couple points in the future

asked Nov 20, 2011 at 23:40

2 votes

2 answers

211 views

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

asked Oct 30, 2012 at 0:09

2 votes

2 answers

161 views

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

asked Sep 3, 2016 at 4:25

2 votes

0 answers

38 views

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

asked Oct 15, 2015 at 4:05

1 vote

0 answers

42 views

Are the returns in this regression signed returns?

asked Jun 9, 2016 at 13:09

1 vote

0 answers

485 views

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

asked Oct 14, 2015 at 17:16

1 vote

0 answers

20 views

Factors affecting magnitude of responsiveness to acquisition announcements?

asked Nov 12, 2016 at 17:46

1 vote

0 answers

44 views

Equivalent constructions of risk budgeted portfolios?

asked Apr 26, 2020 at 18:41