You can trade JGB futures and futures options on the TSE via IB TWS. There's also a SGX contract (SGB) for mini-JGBs too but as I recall the...
Good point. I know from personal experience that this is correct. Brad Setser seems to be making a closely related point here:...
Hi kashirin, If you're saying only that a one-day *unanticipated* cut in demand of 3.5 million barrels would send the market into a nosedive, I'd...
What would happen if the US cut consumption by 15%? Well, with all other things being equal, and given that the 5% of the world population in...
late apex, that's absolutely correct, but it's not quite the full story. With larger leverage offered to me, I can choose to use the same bet...
Multi client will be available in a few weeks according to a post by an OANDANIAN on the forum recently.
I like OANDA too, but I don't like this list. The OP was asking about what makes OANDA different. The answers, as I see them: Effectively...
I believe you are missing something. If the two systems' holding period returns are anything less than perfectly positively correlated, it is...
Just a suggestion from someone facing similar issues, but I think you were too lenient with yourself on this point earlier on. It is either a...
I think walter has made a *very* interesting point about overfitting here, and I'd like to pick his brains on it a bit further. Let me give an...
I don't know what you mean by ML (your reference to training data reminds me of neural nets, AI?), but if you backtest on all your historical data...
I couldn't disagree more with walter. In my opinion one of the nastiest habits of all is early profit taking. If you think that big news events...
Thanks. I don't understand all the details, but if you're confident you haven't overfitted and you've used a good chunk of out of sample then...
Did you reserve a portion of your backtest data for out of sample testing? How many hardcoded numerical parameters does your system contain?...
Stop worrying! Make a little table: PnL % of days -$1000 0.01% -$800 0.02% -$600 2% -$400 8% . . ....
If and only if the correlation between the securities is less than one :) . If the securities are significantly positively correlated, the value...
nitro: Thanks for the reference. My background is in Maths/Physics (Bachelors Maths, Masters Physics) so I am comfortable with undergrad...
Yes, I agree, this is very interesting. There are many (often emotive) discussions of the relevance of academic learning in mathematics...
No. According to the above attachment, Z in this case is a "standard normal" variable. It's a random number with a mean of zero and a standard...
Monte Carlo does not assume upward drift, nor anything about volatility; it is a method of simulation (using random numbers and iterating over...
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