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  1. Portfolio optimization of a basket of high frequency and low frequency strategies

    My sincere apologies IntradayBill. Please let me know where I did wrong things to you in the past... It's definitely not my intent.
    Post by: mizhael, Jun 30, 2011 in forum: Strategy Building

  2. what to read to understand the fixed income market better?

    Very famous papers - thanks so much! I like these papers! I got 1-6, do you think 7-12 exist?
    Post by: mizhael, Jun 29, 2011 in forum: Financial Futures

  3. what to read to understand the fixed income market better?

    Points well taken Bone! Thank you for pointing that out to me! Will do...
    Post by: mizhael, Jun 29, 2011 in forum: Financial Futures

  4. what to read to understand the fixed income market better?

    Nice book with great Amazon review. Ordered one and will read when it arrives... Thanks a lot!
    Post by: mizhael, Jun 29, 2011 in forum: Financial Futures

  5. Anybody could please explain the rationale behind the MS trade?

    Do you guys think these trades make sense at all? How can one reliably forecast inflation into 30yr period?
    Post by: mizhael, Jun 29, 2011 in forum: Financial Futures

  6. Can one really successfully trade on fundamentals?

    For example, Gartmans always has a bunch of numbers, e.g. the current progress of plantation in percentage 35% vs. last year 65% for corn, and he...
    Thread by: mizhael, Jun 29, 2011, 19 replies, in forum: Commodity Futures

  7. Good regime for trend-following and mean-reverting strategies?

    Points well taken Bone! As you can see - I am asking some "deep" questions - I know you are against "generalization" for this matter... as you...
    Post by: mizhael, Jun 28, 2011 in forum: Strategy Building

  8. Good regime for trend-following and mean-reverting strategies?

    Wow, you are relating "trend-following" and "mean-reverting" to market profiling? Welcome! We always welcome new ideas and new perspectives!...
    Post by: mizhael, Jun 28, 2011 in forum: Strategy Building

  9. Good regime for trend-following and mean-reverting strategies?

    What do you mean? I hope I am also contributing by asking questions. Lets take this particular thread as an example - as you can see, I have...
    Post by: mizhael, Jun 28, 2011 in forum: Strategy Building

  10. Good regime for trend-following and mean-reverting strategies?

    Why? Option Expiration Date?
    Post by: mizhael, Jun 28, 2011 in forum: Strategy Building

  11. Good regime for trend-following and mean-reverting strategies?

    Thank you for your hints! :=)
    Post by: mizhael, Jun 28, 2011 in forum: Strategy Building

  12. Good regime for trend-following and mean-reverting strategies?

    I agree with your observations. But I've also read literature saying that a large vol is good for trend-following ... strange.
    Post by: mizhael, Jun 28, 2011 in forum: Strategy Building

  13. Good regime for trend-following and mean-reverting strategies?

    Mike, I was talking about the autocorrelation of the price series not the vol series. And you went even more extreme - you are saying that any...
    Post by: mizhael, Jun 28, 2011 in forum: Strategy Building

  14. Anybody could please explain the rationale behind the MS trade?

    http://www.bloomberg.com/news/2011-06-29/morgan-stanley-said-to-suffer-trading-loss-after-wager-on-u-s-inflation.html "Traders at the bank bet...
    Thread by: mizhael, Jun 28, 2011, 7 replies, in forum: Financial Futures

  15. Good regime for trend-following and mean-reverting strategies?

    I just don't understand why people universally think of using volatility here... as I pointed in my other post, a straight-line with constant...
    Post by: mizhael, Jun 28, 2011 in forum: Strategy Building

  16. Good regime for trend-following and mean-reverting strategies?

    There are a few things that I really don't understand: A typical low-vol price series is a straight-line. It has 0 vol. It should be the...
    Post by: mizhael, Jun 28, 2011 in forum: Strategy Building

  17. Portfolio optimization of a basket of high frequency and low frequency strategies

    Hi all, Lets say you have a basket of strategies: A, B, C, D A is really high frequency, based on real-time tick data; B is mid frequency,...
    Thread by: mizhael, Jun 28, 2011, 20 replies, in forum: Strategy Building

  18. Funds offseting positions

    The positions data are always at least 1 week delayed... Anybody really trades on these delayed positions data?
    Post by: mizhael, Jun 28, 2011 in forum: Commodity Futures

  19. what to read to understand the fixed income market better?

    Hi all, I am a newbie in the fixed income market and I am trying to develop my views about things such as US treasuries, etc. Could you...
    Thread by: mizhael, Jun 28, 2011, 10 replies, in forum: Financial Futures

  20. How do Option Expiration and End of Quarter typicall impact stocks?

    We are approaching end of 2nd Quarter... the stocks typically will be up? What about Option Expiration date? thanks
    Thread by: mizhael, Jun 28, 2011, 0 replies, in forum: Stocks
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