I think a better solution is to append a random amount of time, say between 100 and 200 ms, to every order that gets submitted. That way, the HFT...
You could also try John The Ripper http://www.openwall.com/john/
Taleb's approach is to take no risk, and at the same time take large risk. In other words, put your money in t-bills/bonds and use the interest...
<b>What makes order flow toxic to market makers?</b> Lopez de Prado: An order flow is considered toxic when market makers provide liquidity at...
Perhaps the theoretical price would be different slightly because of using sqrt(356) instead of sqrt(252) in the pricing models. Also, there...
If your router supports it, what you want to do is create a separate VLAN for your wired connection ports, and then firewall off the two subnets...
Since the market tends to run in cycles and be fractal in nature, I suspect that whatever strategy works best over X time period, will give...
Is this an intentional pun? Perhaps you mean layman?
"The inherent vice of capitalism is the unequal sharing of blessings; the inherent virtue of socialism is the equal sharing of miseries."...
Here is a good reference article. As has been mentioned, there is nothing particularly magical about Kalman filters or any other filter in and of...
DECO & 377OHMS, Do you guys have an opinion on using the MESA (All Poles) method to find and trade the dominate cycle? Thanks.
The Kalman filter is just that, a filter. That is it smooths your data with minimal lag. The work of John Ehlers (Rocket Science for Traders and...
The difference could be the underlying algorithm they use (Newton-Raphson vs. Bisections vs. other), or less likely, whether they use a BS or...
Here is the attachment.
The best way to do this is build a normalized volatility surface (see attached.) These surfaces are fairly stable over time. This means you can...
That's called an ad hominem attack btw. I happen to agree with Taleb in principal, but it's just not all that palletable of an investment...
I urge you to seek out the work of John Ehlers. Lots of his code is freely available on the web if you can program a little bit. Also, his book...
Here is a C++ implementation of the Method of Bisections, by Bernt Odegaard. #include <cmath> #include "fin_recipes.h" double option price...
"Never bet on a long shot." - Frank "Lefty" Rosenthal
Higher than normal kurtosis (leptokurtosis) means fat tails. You could take the Black Swan approach with this. Buy treasuries, and use the...
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