I am focused on hedged portfolios so multiple instrument only. The only time I am considering non-hedged positions is when I have a microstructure...
LOL, this is not a competition for the smallest number of training points. My current interest is not in completely empirical models. I'm focused...
Like I said I haven't used ARIMA models so I can't help you there. In general, you can get confidence levels on your parameter estimates for your...
Haven't been working with ARIMA specifically but I'm close to a system that uses time series models + microstructure considerations. I think the...
hedging is a pairs trade.
yes taking the first difference is one type of a transformation.
this is the whole motivation for cointegration.
perhaps he is talking about threshold cointegration.
Exactly, price series are emphatically nonstationary. That's why one needs to transform or take linear combinations or trade volatility or some...
I think the key is to construct a stationary time series via transformations or linear combinations. I believe once you have stationarity, then...
I would say it's worth it if you manage to get into a good program, e.g., MIT's financial engineering Ph.D. The reason I think it's good is...
what if you inherited your million? do you still get +1?
Okay yes I neglected to say it was in my sim account. Thanks to both of you for confirming it's prob not my code.
I have my log level set to "error" so not sure if I'm seeing the status info there. I do see the transmission of orders. not seeing the incoming...
Plain vanilla stocks. I looked through the TWS logs; not sure I understand everything in there but nothing glaringly suspicious. I catch most...
My algo sent in several limit orders on a number of stocks and it is hanging there so far for 10 minutes unacknowledged. When I go into TWS, those...
Misconceptually, I'm having trouble wrapping bacon around my big head. It seems I need to string together about 4 bacon strips to reach around....
interesting. if we re-grease to the pork belly meme, we indeed may have bacon.
By the way this slippage associated with MA crosses is at the heart of the problem. The likely reason you are seeing such large differences by...
No it assumes instantaneous entry i.e., precisely no slippage. If you notice, the opening price of the next bar is usually equal to the closing...
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