Are there any general methods for mechanical/automated strategies to know when to stop entering new trades? That part should be easy... something...
I've been playing with some models in matlab that I've been developing over the past few weeks based on high frequency data I've been recording......
I'm forming an LLC so that I can get business rates for server leasing, and trade accounts for friends/family. My question is, should all of...
Heterogeneous Volatility Cascade in Financial Markets Abstract: Using high frequency data, we have studied empirically the change of...
Is anyone aware of any methods to calculate the volatility of price points deeper in the book than just the last-executed price? Let me...
Potentials of Unbalanced Complex Kinetics Observed in Market Time Series Abstract: As a model of market price, we introduce a new type of...
Do any of you guys have experience leasing servers? I'm thinking of getting a dual opteron for about $4K from monarchcomputer.com Over 3 years...
I've found a couple of papers which are interesting. Does anyone actually use these arbitrage strategies? If so, are they effective, does...
Are you kidding me? These guys thought evaluating a simple system based on moving averages was a good idea? How does this stuff even get...
I think the bid/ask spread is very misleading. For instance ----ASK------ 2.982 100 3.000 900000 3.010 300000 ---BID------...
Assume it is possible to predict both ask and bid liquidity several minutes into the future. What sort of strategies or indicators would you use...
I've recorded a full days worth of high frequency depth quotes from INET, ARCA and nasdaq level2. I've done some analysis and noticed there...
Do any of you guys record depth quotes from all the ECNs for backtesting purposes? I've written some software to do this with 2 seperate direct...
Do any of you guys follow cutting edge research when creating models? I have been following academic journals for over a year now related to...
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