I got your point. But simulating my own orders is not important at this point (let alone estimate their impact). From a practical point of view...
Thanks! As I'm not an expert programmer, I'd like to save some time starting with an engine (just an efficient order matching algorithm). There're...
My initial concern is with exploratory data analysis and simple simulations. In this way, the impact would be zero at first. Later on I would...
Hello, I'm studying HFT strategies, market makers algorithms and trading algorithms for specific goals (like minimization of overall transaction...
I'll elaborate on that as soon as I finish reading a couple of papers: I'll give you an example of FX Futures contracts that "drive" (in a very...
Maybe I chose poorly my words. I really don't know how common is that: financial instruments whose spot prices are determined by its derivatives...
Thank you! The microstructure I'm really interested is a very unique one (not covered in any book I know). But I need the general concepts in...
Those takeaways were insightful. But the "anyone can become an expert in quant finance" motto have always amused me.
Thank you very much for sharing this! I'll certainly take a look.
My idea is to start from the order book and find a niche between HFT/market makers and lower frequency strategies. The order book in Brazil is...
I'm new here, so I'm not able to make any fair comparison. I just thought that It'd be nice to write more freely in one place, and then summarize...
I've initiated a thread like this one on futures.io. I intend to update my progress here less frequently, but more concisely. I do want to count...
Starting from the beginning [IMG]
Today I started to negotiate with a vendor the acquisition of market data. I'll have to start my own database, as there's no historical data...
My goal is to elaborate a paper and put it in arXiv.org (and to submit it as my course completion work in Stats too). About order book modeling:...
Thanks! I didn't know that. I do need historical data and a way to run custom simulations. Just that. I've used Metatrader/MQL5 and some custom...
That was supposed to be a joke, as implied by the Talking seriously now part. I know my writing skills suck, but feedbacks like yours are more...
When I was young enough to think I knew it all, I was sure that risk was like a dial button I have to adjust to optimize my results (in life). Dr....
Sorry if I didn't make myself clear enough before. My country is more than 20 years behind. This means I have some time ahead:). The HFT "fee...
Thank you! I'll certainly do that. Although I don't intend to model any strategic play by the agents (zero-intelligence), it's important to know...
Separate names with a comma.