Recent Content by black diamond

  1. Position holding time

    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...
    Post by: black diamond, Jun 14, 2013 in forum: Automated Trading

  2. HFT Myths

    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...
    Post by: black diamond, Jun 14, 2013 in forum: Automated Trading

  3. Calculate volume needed to move stock?

    Yes, those were the ones I had in mind.
    Post by: black diamond, Oct 5, 2012 in forum: Trading

  4. Calculate volume needed to move stock?

    Three academic papers you may want to look at - Amihud (2002), Pastor and Stambaugh (I forget the year), and Chordia Roll and Subrahmanyam (2005)....
    Post by: black diamond, Oct 5, 2012 in forum: Trading

  5. Harris' Book and "Uninformed Traders" in US Equities

    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...
    Post by: black diamond, Mar 6, 2012 in forum: Strategy Building

  6. Harris' Book and "Uninformed Traders" in US Equities

    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...
    Post by: black diamond, Mar 6, 2012 in forum: Strategy Building

  7. Surprised no PREM ETF

    if you mean the equity risk premium, close but not exactly: http://www.indexuniverse.com/sections/news/8869-factorshares-launches-5-spread-etfs.html
    Post by: black diamond, Feb 11, 2012 in forum: ETFs

  8. International ETF Arb.

    Look at this paper on trading mutual funds with stale prices for some ideas: http://pages.stern.nyu.edu/~rwhitela/papers/fundtiming%20faj02.pdf...
    Post by: black diamond, Jan 11, 2012 in forum: Trading

  9. Whats the job market like for a CFA?

    CFA won't open doors. Not having it may close some though.
    Post by: black diamond, Sep 8, 2011 in forum: Professional Trading

  10. Do you see patterns in Random Walks?

    Sorry, most of us without Asperger's have ADD.
    Post by: black diamond, Aug 31, 2011 in forum: Technical Analysis

  11. Do you see patterns in Random Walks?

    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...
    Post by: black diamond, Aug 31, 2011 in forum: Technical Analysis

  12. Working in Industry and Private Trading Possible?

    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...
    Post by: black diamond, Aug 22, 2011 in forum: Professional Trading

  13. Investing in SPY using dollar cost averaging, searching for ideas.

    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...
    Post by: black diamond, Aug 14, 2011 in forum: Stocks

  14. what test for 3-4 variables predicting an outcome of 0 or 1

    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...
    Post by: black diamond, Aug 9, 2011 in forum: Strategy Building

  15. what test for 3-4 variables predicting an outcome of 0 or 1

    You probably want to try a logit or probit model.
    Post by: black diamond, Aug 8, 2011 in forum: Strategy Building