I have also seen this done w/ linear regression weights instead of theoretical DV01s. I haven't traded either so I can't say which is better...
What do you mean??? I was just trying to give the simplest example of cointegration with zero correlation I could think of. So what do you...
This stuff is much clearer with concrete examples. Here is a simple example of cointegration w/o correlation: Stock A and B only trade on...
Some of us think this is good. Govt doing too much is bad and if you can't get bipartisan support for something chances are it is not worth...
Check out the Southpark movie. I give it 2 thumbs up.
My other posts pretty much dealt with what I think are hard facts. Here is the other part of why I am skeptical about a lot of the flash order...
I am back from dealing with all my margin calls :) ... Here is an article that says Nasdaq flash orders are opt-out, on all the others it is...
Unless it has changed the outside investor is in the first loss position (I think shared up to 50/50 with the govt at their option) and the...
Hi Pacific7, I don't have a lot of time now but I will post more later. One quick thing - thanks for the example, that is the kind of thing I...
Thanks, I think this is a interesting issue.
Hey Pacific 7- No offense taken but I am not convinced. And I am not trying to negate any discussion, just giving my opinion. I'll assume your...
Tradator, I've been doing a bit of reading about it and I see two concrete complaints and a bunch of nebulous vauge hype. But first I think...
I actually like historical VAR. You simulate how your porfolio would have performed over the last X time periods and rank the results. If you...
It looks like you are missing something about their methodology. From the normal distribution your worst 1% loss should be ~2.33 standard...
I can think of one option use in pairs trading I like though. Put a wide near-costless collar both stocks. So if one stock gets bought out or...
Thanks, I guess that is better but still doesn't feel the way a pair trade should. You could make money on a big move even if the spread widened...
I have thought about this and see a major problem with option pair trading that nobody has mentioned. Say my pair model tells me to go long 1...
The first page of a google search on "etf share creation" clears this up. Here is the best link I saw: http://www.icifactbook.org/fb_sec3.html...
Hey Atticus, Do you think it is useless if you just use beta=1? I saw an interesting published strategy a while ago that is simultaneously...
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