What is the degree of your polynomial? Is the fit weighted? How local? Are you removing any fly and/or calendar arbs in the mids before fitting...
Yes, TMX is the former Montreal Exchange, which was acquired by TSX. It is a derivatives exchange still based in Quebec but part of the Toronto...
Your profile says "West Coast." Is that west coast USA? TMX options are off limits to US domiciled retail accounts. Futures are OK though. TMX...
No, just an ok EOD database. Here is the query I used: select base as symbol,sum(volume) as volume,sum(oi) as oi from Options where source =...
As of Wednesday: SYMBOL , VOLUME, OI ======= ======== == ASA , 10, 1529 CAF , 0, 388 DSL , 4, 1725 IFN , 20, 149 KYN , 29,...
Congratulations!
That explains a great deal. Handle lives in a single-wide in El Paso and claims a form of Klinefelter unknown to medical science. He's "been with...
Ivy League PhD. NIH Senior Scientist (tenured). Yet it took you 12 pages to figure out the answer to a simple probability question:...
That's not the only issue. For Portfolio A, all instruments are expressed in a common unite of account (USD) and have the same risk-free rate, and...
Don't forget Iron Apex Lookback Spreads with Inverse Bleed Extensions. Copyright Dan Shy.
If you go back to raVar's very first post: https://www.elitetrader.com/et/threads/fundseeder-opinions-useful-not-risk.294748/page-4#post-4930980...
The shortest answer is that your question is answered in exhaustive detail in the Lutkepohl book you reference below. Except, not being Canadian,...
Ron, what proportion of your posts reference Harris or PAL?
EM is an iterative algo so is typically itself run in a loop. I haven't looked at the link but that is probably what their loop involves. For...
I think the major cognitive defect of ET posters is an apparent inability to discriminate between expertise and utterly poseuristic bullshit....
I'm pretty sure that was a typo and that he meant to write the opposite. Late night, lots of coding... a sign error comes easily. Interesting...
Check your code on that, you may be doing something wrong. Data appears to go back to 2000. Here is a a URL, using the API key that AndyM so...
Thanks for the heads up. They'll certainly monetize at some point. They seem to be associated with Polygon.io (along with at least one other...
Attached is the Toda and Yamamoto paper I referenced above. The method is fully described in the abstract. It can be implemented in the vars...
I'll answer your full post later when I have the time, but for now I'd like to clear up this misaprehension, If you regress y on X, both...
Separate names with a comma.