You should think about your opportunity cost (what you be doing with your capital when you are out of the trade) and how many trades you get to...
Thanks for taking questions on this stuff! Have you followed the academic research on HFT, and do you have any opinions on it? One particular...
Yes, those were the ones I had in mind.
Three academic papers you may want to look at - Amihud (2002), Pastor and Stambaugh (I forget the year), and Chordia Roll and Subrahmanyam (2005)....
That is not what I see in the data. The 1-minute price impact I mentioned is the same if I look 5 or 30 minutes out, so it looks like it is...
I ran a test that suggests (1) and/or (2) is likely to be true. On a large sample of NASDAQ trades I calculated the average effective spread as...
if you mean the equity risk premium, close but not exactly: http://www.indexuniverse.com/sections/news/8869-factorshares-launches-5-spread-etfs.html
Look at this paper on trading mutual funds with stale prices for some ideas: http://pages.stern.nyu.edu/~rwhitela/papers/fundtiming%20faj02.pdf...
CFA won't open doors. Not having it may close some though.
Sorry, most of us without Asperger's have ADD.
I gotta back up Mike here. I had a boss who was getting a phd at night - he had worked his way into a quant position without a phd and felt like...
Unfortunately this is tough. I used to work at two fixed income places that didn't really care what people did as long as you didn't trade in the...
I know the conversation has strayed a little, but back to the original spy vs es part ... there is an interesting angle nobody mentioned. I think...
I still think a logit regression is your best bet. The problem with a normal regression is you will probably get predicted values < 0 or > 1. A...
You probably want to try a logit or probit model.
Can you compare VWAP over short term bars over the two data sources? That should be more robust to individual trade prices than OHLC. If that is...
I have created equal weighted indexes/baskets with equal dollar weights in each. Not for any deep reason, it just seems like the simplest...
I have been thinking about this stuff for a while but haven't had time to get past collecting data. I have worked with databases of limit order...
I disagree, it is not that simple of a question. In general there are noise terms in autoregressive models so they are not deterministic....
My take on this is that many of the posters in this thread are groping different parts of the elephant. Most of what I have read is right, but...
Separate names with a comma.