VBA, R, Python. They are all free and relatively easy to learn.
If you are looking at it from the broker's point of view you will never know exactly what notional base the client is using or assuming. I used to...
I have complete 10Y Treasury futures tick data (all contracts, 1985-11/2014). I am interested in swapping for a similarly complete ES/SP tick data...
The good news is you were observant enough to spot this anomaly. Bad news is that there is nothing here to take advantage of. The CME changed the...
What country are you in?
Thanks. Sorry...should have mentioned I'm looking at futures.
For those who have tried testing ORB, I was wondering what data granularity people have used? I have access to tick-level data, but I'm trying to...
Yes, but would the larger customers benefit from having to pay the added commissions?
http://www.wilmott.com/messageview.cfm?catid=3&threadid=43940 Not a straightforward answer to this question, and Seems like NT might have made...
Trading bonds against stocks on a "fundamental basis" is probably best done longer-term (think weeks or months) through some type of regression...
Relative Value usually applies to instruments within the same asset class (bonds vs. similar bonds, for example). Stocks vs bonds is therefore not...
I guess you didn't quite get the gist of my last post. The spread you are talking about is the spread between the 30Y futures and the Ultra...
Where do you see a 50Y (or anything that was issued as a 50Y) U.S. Treasury Bond trading? I'm pretty sure the Treasury doesn't issue 50Y bonds.
The CTD to that contract is the 4.5 5/15/2038, yielding 2.98%. BTW, it is not a 50Y contract. It tracks something > 25Y. The reason it was...
If you are experienced with a profitable track record at another fund then ask for +25% over your old base and an extra 5-10% of PnL. If you...
This is not a pure arb. You are exposed to changes in the CTD, as well as changes in your cash financing rate. Even if you hedge out the...
One problem I see with DITM option trading is that you might not get the liquidity you need to get in/out of the position at a reasonable cost....
Futures prices take into account carry, so yes that is reflected (not as cleanly as in the cash market, but it is there nonetheless). Get yourself...
It's just the way the deliverable baskets happen to be. In the long-end contract the two currently cheapest happen to yield about the same, and...
Not only go back to school, but make sure you pay back your Dad as soon as you can possibly can, and never take money from relatives to trade...
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