Thanks srinir, I will do a study this week on it and document what i find
I apologize i meant to say -1
I first want to mention I have read some of your previous posts and find you very intelligent so thanks for continuing to answer my...
Can you explain what you mean by group returns?
So top row(left) is Macy vs surprise we can see 0 correlation. However on the right we have its autocorrelation. So we could pretty much have a...
Thanks for sharing this post!! This is interesting, maybe my data set was not large enough as some stocks show close to 0 correlation. In this...
Supply and demand. I might be focused on the long term expected value, while a big fund is coming into the market to buy puts on their long stock...
For earnings estimates and surprises I access to a Bloomberg terminal. Estimates/surprises up to 2006. What stock/stocks would you like? I'll send...
@Secret Santa does morgan stanley have you chained to the desk? This thread could use some of your math expertise.
Newwurld you would never hold the position for longer than a day. Lets say on average you did 5 earnings a day and you are trading with a low cost...
:wtf: which one???
Also newwurld could you tell a strategy thats does produce good returns without saying the secret sauce ofcourse
are you an economist/statistician by nature/profession? what do you usually use R for?
Hi newwurld, what would be considered a good return by retail level? also I think this strategy could produce great returns if done properly....
I have a mac and pc, I really find no difference if anything the mac runs a bit faster when doing large computations. Do you use R studio or...
I wouldnt consider trading earnings day trading. Its a very statistical process, where if you have a good model and good execution you should be...
I have looked at the difference in jump vol and diffusion vol. (actually started a thread on it, but didnt get much attention). Something I want...
In image 1 those are the distributions of the last 48 earnings for multiple companies that recently had their earnings. (histogram with 20...
I also want to mention that higher implied vol before earnings does not do a good job at predicting returns. In fact when there is very low...
Hey sig thanks for the reply. So I have purchased data that gives me the last 50 quarters of company's price move, estimate and surprise. I also...
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