I believe the calculation should be done on calendar days, including weekends and holidays. See page eight of the CBOT white paper at this URL:...
50 bp cut: Dec = 100 - ((11 x 4.45)+(20 x 4.00))/31 = 95.84 Jan = 100 - ((28 x 4.00)+(3 x 3.75))/31 = 96.02 My entry prices: Dec 95.74...
Scriabinop23, are you still watching these spreads? It looks like implied future FF rates are mispriced between the Dec and Jan contracts....
Ok, you got me into the trade, I'll follow you out of it. Trying to work my way out at the bid now. I've got a fairly decent profit in it,...
Futher to this -- I'm not so sure there. Taylor rule on forecast core inflation and forecast gdp (vs TTM inflation and gdp) gives a rate of...
Doubled my short postion this afternoon, but watching it closely. Risking another 0.035 to 95.570. When a trade goes too far against you,...
Thanks. Got it in. You've been pretty accurate on these spreads.
This looks like a word for word re-incarnation of Options Intelligence. Total scam. Widely discussed on Usenet, ET, and other forums. Save your...
Not entirely true. There is no consolidated volume information. However several ECN's publish realtime deal flow information. These volume...
That is because Reg NMS prohibits sub-penny orders in stocks trading over one dollar. Try sub-pennies in a fifty cent stock and you should be...
What you are seeing is "price improvement," not hidden orders. You can't get around it directly, but a little thought and you will see that...
Did you read the thread title? MNST. Only thirty cents to go.
Things may be about to get worse, if their support staff starts to melt away. A friend wrote me this today: "By the way, the [tech support]...
Not misprice, just banks on one ECN quoting wider than on another. If there is sufficient buy-side action on the wider ECN you can, for example,...
Yes, do the opposite. Look (wait) for less complex arbs in forex in unusual situations -- high volatility, wide spreads, huge volumes....
Here is an interesting paper on the subject. Found on the World Beta blog.
I have attached the most accessible pdf covering these formulas. I have no idea what the ET limit on pdf attachments is, so PM me if you...
Unfortunately, you can't run unlimited simulations over trading system backtests. Resampling techniques (bootstrap, jackknife, etc...) introduce...
These and other papers out of the same group in Stockholm invoke the name "Parrondo" but do not construct actual Parrondo games. I have...
The article is misleading, particularly the reference to Maslov: "Dr. Sergei Maslov from Brookhaven National Lab had shown...
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