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  1. Recommendations on time-series price prediction models?

    Have you looked at ARMA (autoregressive moving average) models, perhaps supplemented by GARCH to model conditional volatility? Those are the...
    Post by: ajensen, Apr 10, 2021 in forum: Automated Trading

  2. Stochastic process for irrational stocks

    Stock prices are commonly modeled as a geometric Brownian motion to value stock options, as in the Black-Scholes model. How do you model a stock...
    Thread by: ajensen, Jan 27, 2021, 4 replies, in forum: Options

  3. Shorting UVXY

    I think shorting UVXY has positive expectancy, but it is highly correlated to being long SPY, which also has positive expectancy. I think being...
    Post by: ajensen, Oct 17, 2020 in forum: ETFs

  4. Can an American investor trade Chinese stock index futures?

    Question prompted by this article: https://www.wsj.com/articles/chinas-star-board-defies-financial-gravity-in-a-hot-market-11598434202
    Thread by: ajensen, Aug 26, 2020, 4 replies, in forum: Index Futures

  5. Expected price path of CHK

    I think Chesapeake Energy stock is going to zero, given that it is likely to file for bankruptcy, and that its bonds are trading at about 10% of...
    Thread by: ajensen, Jun 10, 2020, 4 replies, in forum: Stocks

  6. Which limit orders participate in the closing auction?

    So, to be specific, I could place a limit buy order at 10.10 at 3:58 PM and not be filled even though the price in the closing auction is 10.09?...
    Post by: ajensen, May 19, 2020 in forum: Order Execution

  7. Which limit orders participate in the closing auction?

    Fidelity allows only market-on-close, giving an error message "A Time in Force of On the Close is only eligible for Market orders" if you try to...
    Post by: ajensen, May 18, 2020 in forum: Order Execution

  8. Which limit orders participate in the closing auction?

    The retail platforms of Fidelity, Schwab, and Merrill Edge do not offer limit-on-close (LOC) orders (I just tried), but IB does offer LOC orders....
    Thread by: ajensen, May 18, 2020, 5 replies, in forum: Order Execution

  9. Stocks with multiple share classes traded in the U.S.

    Some stocks with multiple share classes that are actively traded on a U.S. exchange are (using Yahoo Finance symbols) BRK-A, BRK-B (Berhshire...
    Thread by: ajensen, May 8, 2020, 1 replies, in forum: Stocks

  10. Indicator for Comparing Which of Two Correlated Instruments is Leading/Lagging?

    You could fit a "vector autoregression" (VAR) to test for "Granger causality". The equations for a VAR(1) with two variables x1 and x2 are x1(t)...
    Post by: ajensen, Jan 25, 2020 in forum: Technical Analysis

  11. Are options inherently a short-term trade?

    Buying or selling a 1-month option is inherently a short-term trade, but a regularly selling 1-month ATM straddles on the S&P 500 to harvest the...
    Post by: ajensen, Dec 7, 2019 in forum: Options

  12. Significance of different moving average periods?

    Some researchers have suggested varying the length of the moving average based on market realized or implied volatility, a current example being...
    Post by: ajensen, Dec 4, 2019 in forum: Technical Analysis

  13. Resources for quants

    Two comprehensive lists on Github of resources for quants are https://github.com/EliteQuant/EliteQuant EliteQuant: A list of online resources for...
    Thread by: ajensen, Dec 2, 2019, 8 replies, in forum: Automated Trading

  14. Significance of different moving average periods?

    A very simple trend indicator is whether today's price is higher than the price N periods ago. This measure, called rate-of-change (ROC) or...
    Post by: ajensen, Nov 30, 2019 in forum: Technical Analysis

  15. Problem with Yahoo Finance historical data using R quantmod

    This morning my R script ran at its usual speed. I hope the problems yesterday morning were one-off. Thanks to everyone for their suggestions. To...
    Post by: ajensen, Oct 30, 2019 in forum: Data Sets and Feeds

  16. Problem with Yahoo Finance historical data using R quantmod

    Thanks for the information. How do I generate a new cookie for each session in R? The R code for the function getSymbols that gets the data is at...
    Post by: ajensen, Oct 29, 2019 in forum: Data Sets and Feeds

  17. Problem with Yahoo Finance historical data using R quantmod

    Thanks d08. I added a Sys.sleep(10) line to pause for 10 seconds between requests. There are still failures to get data for some symbols, and of...
    Post by: ajensen, Oct 29, 2019 in forum: Data Sets and Feeds

  18. Problem with Yahoo Finance historical data using R quantmod

    I have an R script that uses the quantmod library to pull daily data for about 500 stock symbols every morning. Usually it works fine, but today...
    Thread by: ajensen, Oct 29, 2019, 11 replies, in forum: Data Sets and Feeds

  19. Best Python Framework for IB

    Interesting thread. A good forum for discussion of automated trading at Interactive Brokers is https://groups.io/g/twsapi .
    Post by: ajensen, Oct 20, 2019 in forum: Automated Trading

  20. Grayscale Ethereum Trust arbitrage

    Investing in Cryptocurrency Is Risky. This Fund Is Just a Bad Idea By Lewis Braham Barron's Aug. 23, 2019 6:52 pm ET ... Etherium is not easy to...
    Thread by: ajensen, Aug 24, 2019, 0 replies, in forum: Crypto Assets
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