HoundDogOne, is that you? :D
:D:D http://www.theonion.com/content/news/even_ceo_cant_figure_out_how
Ah, DTN requires you to open a developers' account to access the API. https://www.iqfeed.net/dev/index.cfm?section=registerForm Does your...
I can't think of anything more important to analyze for predicting price moves than than the limit book. It is the only falsifiable measure of...
You can probably hack something together from sample code relatively quickly, but it's important that you understand the API docs. What data feed...
If you have some programming skills (Java and SQL), you can accomplish that easily (and free) with any event stream processing platform. That's...
I really don't see this replacing "insider trading" anytime soon... especially since Reuters is disseminating the same information (presumably at...
GOOG did a Dutch auction and priced shares at $85 with a range of 85-95... it opened at $100.01
Not necessarily, especially since you are forgetting the sell-side... A cursory skim of Wilmott and NP shows quants are far more interested in...
You should try asking that on Wilmott... I'd expect a response like "What is a trader?" :D
Are you by any chance reading "The SOES Bandits Guide"? :D
The average objective probability of any technical indicator is 50/50 because almost every indicator is a function of price... which has already...
Sorry... I reread my preceding post and the example is wrong. To answer your question, the parameters are estimated with a linear least squares...
Isn't slippage just the difference between the estimated and actual transaction cost? If you fit a curve to model the book, you can approximate...
That is only tick data, which isn't enough to reconstruct a limit order book. I have yet to find any data vendor (including the exchanges) that...
It's really about price elasticity; decreasing demand as price is increasing. Using price impact models (e.g., by fitting sum of exponentials,...
I don't understand why everyone in this thread is so defensive. Esper is free, there aren't any "gimmicks". Here is one example of how I am...
There are always good reasons to explain why a system might work or fail. However, there are effects that are not predictable even with the best...
I've been without service since around 9 pm eastern. T-Mobile said it's a nationwide outage. Keep an eye on RIMM tomorrow am...
I was thinking about this some more, and remembered that cointegration can exist with or without Granger causality. i.e., contemporaneous...
Separate names with a comma.