I said ASFASIK - As far as I know. I have used it and only noticed prices as of financial reporting period end dates. I haven't looked too hard...
crsp is also survivor-bias free. crsp has prices, returns, volumes for all NYSE, AMEX and NASDAQ stocks, monthly back to 1926 and daily pretty...
I would think about testing it as a portfolio. You would like to know if your signals are clustered in time or evenly distributed, and also how...
It is real, it is the roll yield being earned/paid as the futures-spot basis goes towards 0 when you move closer the next day you splice the...
try this: http://www.nasdaqtrader.com/trader.aspx?ID=marketsharedaily
I think he is talking about a 3rd use of mc - a test for signficance using reshuffled data instead of a theoretical distribution. There is also...
Nevermind, I thought you meant G(t) was price but I guess you mean it is a predictor variable. Maybe regress ATR on realized G's?
Solving this analytically using the normal distribution sounds hard and maybe impossible. I think your best bet is to divide t into multiple...
There is a problem with this line of thinking. Valuation depends on the market's expected future value based on what you know without foresight...
These guys already did it: http://www.cxoadvisory.com/calendar-effects/buy-at-the-close-and-sell-at-the-open/
Right on, this is the key issue here, the order book was in a very illiquid and unstable state when the 75k order hit. People are paying to much...
Definitely not, look at the volumes. ES volume >>> 5 x SP volume. http://www.cmegroup.com/trading/equity-index/index.html On your other...
occasionally but not very well.
Murray is right. Adjacent contracts are two different instruments and the sometimes the front-second spread can be volatile around the roll date....
You can get some rough info on this from the CFTC's Commitment of Traders (COT) report. Their classifications are pretty broad though.
Thanks for the explanation. That makes more sense when you put the shorts into the picture.
Can you describe how you think the afterhrs manipulation works? I am half skeptical and half want to be enlightened. If "they" push the...
There is a correlation expectation priced in the options market. You could trade it by buying options on index components and selling options on...
I don't have time to catch up on the details in this thread now, but I think I have been down this road before. If this is what I think it is,...
No - but the commssions are not affected by your rebalancing. I don't see why this is not clear. The point of the previous post was to make a...
Separate names with a comma.