Yes sorry lol :D By the way I have read somewhere that JP Morgan actually died in the Titanic when it sank, is there any truth in that ?
I'm doing credit derivatives and we're having the same doubts right now about our models. Copula based algorithms based on JP Morgan theories but...
It takes care of the pricing problem as far as the market currently prices it. Whether or not this is realistic is another story. The problem...
Yes but I'm afraid if he does that this chap is gonna find himself a little bit off vs the market isn't he ? His mark-to-market PnL is going to...
This is surprising. People in the bank I'm working for don't seem to be aware of this lol ScienceTrader is correct, the volatility smile takes...
What kind of "index futures" do you have in mind to play interest rate spreads ? (you said that's what you're trying to play right)
I'm in HK and the bank I work for is market making Hibor Futures for Cantor in Japan. The liquidity is extremely poor and bid/ask spread...
I think it depends on the level of accuracy you want to get from your backtesting. Not only because of the 2 issues which you mention and which...
In my opinion it is not possible to simulate execution of limit orders.
This is absurd and makes no sense at all. A correlation coefficient, a variance or a standard deviation assume no distribution at all. They have...
joesan, how much does sharpoint charge per HSI roundtrip intraday ? Their website doesn't seem to mention it (unless I didn't check properly ?)....
I'm living in HK and I can tell you chaps that the honkie dollar can stay in a very tight range for very very extensive period of time.
The broker had put his (demo) trades on manual execution to make it easier for other contestants though lol !
ROFL ! The most successful FX trader in the world can't connect to his DEMO account ! Keep'em coming Coinzy !
I'm in HK and use IB's HK server. It is true that IB doesn't provide the true cumulative volume for HSI, MHI, and HHI. It's gotta be due to the...
Michael, let me rephrase my question: why would it be more worthwhile to do it on several lots than only one ? The % return should be the same...
Not pedantic. Just realistic !
Why so Michael ? Is it due to the structure of the fees to trade FX Futures ?
Yeah I think I agree with that. In my opinion a retail trader who succeeds at that game is using a bad broker (as in slow). In the long term the...
You still get it wrong. Cable quotes the other way around.
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