As far as Rentech goes, they are top notch and seem to have very robust models. Hopefully someone can start a thread trying to have reasonable...
Unless your stated period of returns is less than a year, I would bet size that your claim is not true.
If you are willing to pay up to the offer on SPY or many other liquid names, you will get all the size you want. For example, VXX has a thick book...
If you'd like to post a formalized construction of the model you're considering I would be happy to give more details. But as I read it, your...
If you do a triangle between USD, EUR, GBP your main risk is that you will slip and get values that don't satisfy the arb condition. You're still...
I'm not sure what you mean. How so?
I think it's largely a matter of trade frequency versus number of products. As frequency increases, you'll likely require higher resolution data....
OTC credit derivatives (CDS and such)? I'm a bit confused.
Credit spreads have negative vega. An increase in vol would hurt such a position.
Easiest way is to trade a strategy uncorrelated to SPY. Stat arbs tend to trade for wild prices during high vol events (like a large market...
No claim to specify methods, but it seems signal processing is of great interest there.
I see the confusion. I'm saying that you should have separation between the models for alpha and execution. And then, you backtest using both at...
Sounds like a very reasonable way to start out. You definitely have the right skill set. The way to work around the unexplained losses situation...
One other feature that's not being thoroughly discussed here is Reg NMS. No matter what, orders (besides inter market sweeps) will be filled at...
Many interesting and some inaccurate comments in the mix here. I'll say that I have had a lot of contact with the HFT space and this diagram isn't...
Based on my understanding, you plan on deploying your own systematic strategy. There are several items to consider: - what frequencies will you...
It all seems a bit odd to me. These are not prop shops in the sense I'm familiar. More akin to the arcade type shops. It's very strange to even...
One concern will be that the ETF will become disjointed from NAV. The futures will trade but a circuit breaker can stop the mechanism which keeps...
What you are talking about implicitly is mean reversion. If you split out the market by sector, the weighted average of each sector should equal...
This is incredibly misguided. How do you explain statistical arbitrage or flat arb? And by virtue of creating efficiency you have to be fast....
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