Thanks! I will follow a top-down path here in order to delimit the study. Starting tomorrow I'll try to get some "demo" level II quotes from Bovespa to make some pretests (basically fit a couple of processes).
Jeez, there's no words I can write for that other than to say I'm really really sorry to hear it. He was cool. I remember one time you made him steak or something and posted a picture here saying he was "waiting for it" lol.... Poor thing was blind too. What a great great dog. Whoever you are SLE... you're a good dude. Of that I know.
Wow....what a combination: 1) AQR sucks at trading 2) AQR owner is a douche-bag 3) AQR big and well known
Thank you. He was a good friend and I'll miss him. Hopefully, I'll be moving out of the NYC semi-permanently and then will consider getting a puppy again. Indeed, it's all of the above and they are an "industry leader". I can't recall exactly, but I think they were down ~15% in 2018, down ~10% in 2019 and are something like -25% YtD. Returns prior to that were underwhelming as well, though their first 10 years (1998 to 2007) were pretty nice. "How the mighty have fallen!" The key founder, Cliff Asness, has acted like a jerk on a number of occasions and is universally despised. It take a lot to elicit a strong negative emotion from me and I borderline hate him. Finally, AQR has 143 billion dollars under management (though down from the peak of 220 or something like that) and is probably the biggest "pure quant" fund out there. As quant funds go, this is probably the one fat gorilla that will get stuck in the door on the way out. I might have come across a little harsh, but you do want to know who is who (especially if they are big and they suck). Whenever they trade they move the market (in fact, there are usually speculations abound about AQR positioning). Also study of AQR a great study in the life cycle of strategies (they primarily do factor investing and long-term trend following) and intellectual stubbornness.
If I were you, I'd first spend a bit of time understanding the dynamics of the order book from a purely empirical point of view. Look at what happens when the market moves - who cancels, who stays, how the orders get resubmitted etc. Try to figure out heuristics to distinguish HFT orders from manual ones, try to understand which orders are real and which are fake etc. Only once you have studied the data a bit, you should start looking at theoretical models.
@Same Lazy Element Reach out if you're looking you should still have my email or im me. Post pandemic, but we've already extended some offers. You can bring your dog to work.
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 where to focus. Anyway, I'll have check old stuff too, like the impact of order size and other (likely) dead ends.
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 policy" (from the unique exchange we have) started in 2017. Of course trading is hard everywhere - that's why I like it, but I have an advantage: I don't need to trade. It's not a business for me. I don't travel almost 6000 miles to LA to make a profit. My mental accountant says it's all counted as fun. Talking seriously now: I'll look at the milliseconds activity to study how they impact the seconds market behavior. If I find something (or not) I'll be happy (ok) with it.
These are beautiful words. For real. That said.... it has absolutely zero to do with making money in the game at hand. I do love those words though.... "My country is more than 20 years behind. This means I have some time ahead. Poetic as F. Just keep in mind my friend, the artistic mind, while it may hold an edge in many things life related, when it comes to trading, being too smart for your own good..... will land your account in a place somewhere around zero. Whatever your gig is... I'd slow down. You are in over your head. As am I even replying to this thread.... considering the intellect of those that are chiming in. Whatever. Play it smart.
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 than welcome. I've just asked the admin to move this thread back to "Journals", because there's no trading system here (of any kind). The real deal here: data analysis dissect interesting papers fit some cool models (stochastic process stuff) programming (I'd like to write my own order matching engine) report results I'm not a trader, I'm a student. I'll spend some money buying some market data and (at best) testing some findings. My money account is safe.