The data shows a long way to drop if NYC reaches the trough of the 2003 recession.... Log Chart [IMG]
I would be very interested if you could expand on this. Similar to the previous poster, I have tested a handful of intraday pairs and did not find...
Lo, Attached a PDF of charts I threw together very hastily based on your last post. I emphasize hastily so please let me know if there are...
Since the concept of cubic splines came up I wanted to get thoughts regarding this, I understanding Mr. Jurik has a monetary incentive for pushing...
Boston is fun for a beer filled weekend. Anymore then that, the meat-head frat boy college bar scene gets very old. Weather sucks and omg the...
I dont think they are, thats why 'loser' is in parenthesis.
Pairs trading is a clever way to transform an otherwise non-stationary process into say weak-stationary but it too is exposed to volatility shocks...
NYC wasn't designed for middle class aspirations. It's built around the uber poor and the uber rich. The middle class is like an organism the...
LOL, Jersey. The city is livable on shoe string budgets. Just ask all the aspiring actors/singers/painters/...traders. For example, did you...
Both last posts make the point: Greater profits = Greater risks Whether it be liquidity or news risks, sometimes these are one and the same....
Perhaps I'm not asking my question correctly and I am sincere in my question: I can see how a more stable distribution about some line will...
Maestro, LoLatency, Others: Help me out, here is a very simple strat using the boxed version of WMA. Top/Bottom ticks eliminated, 0.01 commish,...
Guys, I live in manhattan and the restaurants around me are packed! I went to SouthSide in Soho a couple Sundays ago and it too was packed!...
Your saying an ARMA model is better then a WMA or an EWMA (typical functions in TA software)? But my question is, how can this be the case if...
Co-integration isn't a difficult calculation per say but trying to do it an excel over a couple 100 stocks can be difficult. The comment is...
Because correlation is not the appropriate measure; look up co-integration. Ignore corr and focus on back-test results. [Although most will likely...
MacroEvent still around? This vol is a b*tch or a blessing depending on the design for small martingale strategies.
365 days is kinda short period, also need to make sure you have enough sample size (at least 30 trades) to make sure you findings are...
Bingo! Fit past data does not guarantee future performance, in fact the closer the fit, the less robust the performance will likely be. Linear...
Guaranteed for the past but how does it respond to out-of-sample data? If its closer fit does this result in less robustness?
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