Would it work with small-cap stocks also if traded very lightly?
According to Wikipedia: "Broadly speaking, StatArb is actually any strategy that is bottom-up, beta-neutral in approach and uses...
It is a very very interesting paper but it only tests mean reversion: "We presented a systematic approach to statistical arbitrage and for...
Supposedly the Fed purchases Thursday were light. Also there is new supply (auctions) coming next week after a two-week gap. And news...
It looks as if the TBond options are traded out only about one year.
A new virtual machine design (as well as language design) is needed for best multi-core performance. See...
With no new supply coming for the next 3 weeks, and in fact purchases next week, it should be up from here, no?
See http://java.dzone.com/news/javaone-brian-goetz-concurrenc "The tools we have in Java 5 are good enough to find coarse-grained...
FYI as one point of view: "Conservative Fed is good reason to be a bull on bonds" Hugh Hendry...
Very good thanks.....
I am long ZB. I know that GBL is the Bund I want to get long that too after their May Day holiday today. JGB is the Japanese Bond what...
The issue I see with Clojure is that I have heard it said that the JVM is not well-suited to parallelism, so that you would not see the...
The people who need the higher processing power are those who are doing things like real-time stat-arb against a live data stream of quotes of all...
I am switching my systems modeling from other languages to OCaml or F# or Haskell. Besides the functional clarity, a very important reason is...
Could you say what fraction might be using ACD type systems? If not using ACD, what type of approaches are they using? Thanks.
Is it true that a large percentage of floor traders in Crude (or the currencies) are using ACD type systems? If so, how can this work with so...
I guess you are right that it means that the market expects higher expected interest rates. However, I do not agree with those expectations....
The Chinese currency a week or so ago suddenly switched from being inverted (deferred months lower) to "normal" (deferred months higher in price)....
Very very helpful - thanks a lot! I think I may like the Helios and PCM funds (subject to evaluation) because their price history best...
Good point - I amended my post to say "AAA or close to AAA". These particular ones were recommended in a prominent Fixed-Income newsletter.
Separate names with a comma.