A newbie question: How is the opening range defined for futures, most of which trade almost around the clock?
http://wikiposit.org/p?futures It seems pretty amazing that they even have historical term structure data. Has anyone worked with their data...
Yes. If you look into the Matlab code, the hedge ratio is simple the slope of the regression line. So in excel you can just add a trendline to the...
It seems like PTF bases its calculations heavily on the "ratio" of two equities. However, isn't there a problem with the arbitrary choice of which...
When people talk about correlation, they usually mean "return" correlation, not "price" correlation. So it's quite possible that returns are...
Just a general newbie question to the PairTradeFinder users. Most of the stat arb papers use "cointegration" as the test for mean-reversion to...
If you are really that good with C++, why don't you try to get into a more famous school like UCLA or USC instead of CSULB? Even though I don't...
Are you implying your stat arb model is actually scalable in terms on holding period? Wouldn't the expected profit decrease with longer holding...
My understanding is that high-frequency strategies are either market-making or stat arb. Do you agree or are you aware of any other type of HF...
I agree with you in general. I think what matters is the ratio of expected holding period and the backtesting length. Since high-frequency...
This is a little off-topic, but can you describe, in general terms, any precaution that needs to be taken when backtesting with high frequency...
Very interesting. Some schools even offer stat arb as a course: http://cims.nyu.edu/~almgren/timeseries/...
I am not sure how high-frequency your data needs to be, but AmiBroker is the fastest backtesting retail software that I know and it supports tick...
This is great insight. The more I work on my retail trading "business plan," the more I realized that the odds are stacking up against the...
By grunt work, do you mean like IT and operational stuff? I assume those positions are not directly related to trading. So did you learn about the...
Hi lolatency, Let's suppose you can make $300 a day, $300 x 5 days/week x 52 weeks/year = 78k per year. Isn't this number tiny compared to what...
Would you mind recommending some specific books by people who "went in one door and out the other?"
I appreciate everyone's comment here, and maybe I should clarify my motivation for asking this question by posting some job descriptions that seem...
First of all, what are the differences among these terms: 1. quantitative trading 2. algorithmic trading 3. mechanical trading 4. black box...
I am sorry if this has been asked before, but I can't seem to find a way to search within this thread only. What are some brokers that are...
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