I'm a little younger but our big fears growing up were getting nuked, getting aids from mosquitos, needing to learn japanese to get a job, and (my...
Hi Mike, I don't think this is what you meant to do. Taking the square root of the square is just taking the absolute value. If you want to...
Sounds interesting but the link doesn't work, can you repost or just give the title and authors?
True, but I would prefer using different time of day indicator variables to account for normal time of day vol and volume patterns. And then...
If you are doing intraday vol calculations you need to be aware of the normal behavior of what you are trading and correct for it somehow. I...
Hi Garch, The spread is whatever your model says is mean reverting and stationary that you want to trade. I think the "best" spreads are price...
I am not sure I agree with you, it depends what you mean by influencing the report. I think the analyst probing investors in the market for...
Definitely not uniquely. Easy example, 5 flips as in the orginal problem, n=5. You only care about the case where you get 5 heads, all others...
I can't stay away! Sjfan, I started thinking about this for a minute and I think this is unclear. I don't think you mean this literally or the...
Me three, same answer. I got it but I'm sure the interviewers would have gone home for the night by then. Sjfan, you are an ahole, I hope the...
And here are the short close results, it looks like they add value too. I'm not sure how to think about a trading rule where the entry doesn't...
I ran the event study on the closes too, here are the results for the long side. It looks like the exit signal adds some value, but waiting 2...
And for the shorts. The returns are all measured from the long side, so a positive return on the shorts means you are losing money.
Here are the event study results for the long side. They open nicely in wordpad.
Cool thread! I am not surprised this system seems to work, but I am surprised it works so well on blue chips, I think a lot of stuff like this...
I did a very crude analysis on something related with daily data from the EIA website since 2000. I didn't look at the details on when they roll...
I worked in risk management for a while and most of the analysts (including me) were constantly trying to get trading jobs. A few did, but in...
I worked someplace that used it a while back. Once I got familiar with it, I have been able to use it for pretty much everything I have needed to...
There are techniques that people use to correct this issue. Basically you take the view that the past performance and correlations have some info...
I do, I use it a lot. My quick review is that it is powerful but not very intutive at first.
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