Hi I was checking something in one of Taleb's books and came across the bit where he talks about setting up his Bloomberg screen with various...
ezbentley Look at the two articles DSA and DSA2 (Daily Stock Activity) plus DSO (Daily Stock Oscillation). Also plot your own graph of...
Have you seen this: http://dack.com/misc/aeron.html The videos are a great - I can relate to every issue they complain about
Martinghoul - I haven't used any other cointegration tests. I originally studied cointegration in college and then later came across DF in a C++...
Sorry ezbentley, I misunderstood. Spearman etc is an OK method but in my opinion not as robust as cointegration. The correlations may break...
Hi Stat arb is based on cointegration, not correlation. Chan describes it nicely in the article: Cointegration is not the same as correlation...
Free Excel add-in for cointegration: http://www.web-reg.de/adf_addin.html# I have used it and it works fine. For a good explanation of...
You want higher correlation. Remember you are looking for the unusual variation (2+ standard deviation), because when things deviate they will...
I havenât noticed any discernable changes in the stat arb space this year. I have heard that more hedge funds are returning to this type of...
Hi again Aug 2007 â intra-day strategies were profitable virtually every day â certainly net profitable at 31 Aug. For the whole month â...
Hi I have taken a fair bit from Elite over the years (just running keyword searches over the old posts throws up heaps of good stuff) so here I...
Please count me in as well Mainly options and pairs trading here (stocks & FX)
Hi I was searching Google for double diagonal and it found a handy word document titled The Double-Diagonal Strategy that was posted here at...
I use the calculators here found here http://www.hoadley.net/options/options.htm
http://www.castrader.com/ No longer updated - but it references some excellent material if you have a quant lean....
Hi I have to code some tick trades into one minute bars. If the first trade is at 9:00:00 I assume the minutes are measured from 9:00:00, so...
Hi For a stock I want to create deciles of implied volatility using McMillan's formula from page 467 of the third edition of Options as a...
Hi I would have posted this under Software, but that seems to be mainly for trading platforms. Has anyone used the EnCorr Asset Allocation...
Hi A mean variance optimizer (MVO) returns an "optimal" portfolio that has the highest return with the lowest volatility. Its inputs are the...
Hi Say an investment has an annual return of 10%, with a standard deviation of 20% I put in $100 so at year end I have 110 At end of year...
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