What's with the attitude? You just ruined my image of you - before I pictured you raking in the bills intraday all day long when I saw your...
I don't understand why this is a problem. Why should a system that switches between 10 strats and periodically rebalances system 1 back to 10% of...
Bar - if you are still around can you elaborate on this a bit? I followed the flash trading issue from a distance (I have not involved in...
Yes, you are basically optimizing on sampling errors. Sjfan is right about Black-Litterman. Here are other suggestions: 1) Google Bayesian...
I'll throw one out, I have way more half-baked ideas than time to follow through on, maybe somebody can tell me if this sounds promising. When...
So what would happen if the stock price goes up too high?
There are many variations of these, but some generalizations: 1) The purpose of these structures is to pool all payments (not just interest)...
There's a good (old) series of research articles on understanding the yield curve from Salomon brothers that is very good. I don't have them...
If you are a Matlab user try this: http://www.trade-strategy.com/index.php?project=Earnings It didn't run for me but it looks like something...
Assuming your timeframe is compatible, I would look at the CFTC's COTS report. Google COTS trading systems for specific ideas, but you basically...
Don't kill this guy's dream. I'm sure there is money to be made playing music to rich people's pets. And the animals probably won't complain too...
Austin Powers flashback
I did but don't have everything saved. From what I remember it looked like it was not impressive as a stand-alone strategy but helped alot in a...
Fair points, and there's more that you left out. A company's cash holdings are a function of its cash generating power, its financing policy, and...
I did some research on this once. I sorted practically all stocks by cash as a % of assets every year for about 20 years. A portfolio of the...
I used to work as an analyst for a firm that delta-hedged and occasionally ended up with unplanned short ATM straddles on or near expiration day....
I think the value of generic economics is debatable for a trader (not the worst thing you could study though) but econometrics is incredibly useful.
Whichever I thought was more achievable. Of course it is the portfolio performance you care most about. But with all the uncertainty around your...
This approach is correct in theory but the big problem is that you don't have the true mean, vol, and correlations, you only have estimates from...
Hi Talon, Great thread, probably the best I have seen on ET. I am sad to see the sisboom mess. I'd like to ask one more favor if you...
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