Algorithmic Trading

Discussion in 'Strategy Building' started by Scottsdale, Aug 18, 2005.

  1. LOL...

    If it can be realistically thought of, it's been done.

    "Rich get richer"
     
    #41     Aug 21, 2005
  2. cosine:

    http://www.core.ucl.ac.be/services/COREdp97.html

    scroll down to article 9789, pick the "version.ps' at the end of the article description - is the full 22 pages in postscript format.

    smitty
     
    #42     Aug 21, 2005
  3. tlansaction costs, glasshoppah.
     
    #43     Aug 21, 2005
  4. cosine

    cosine

    Thanks a lot dude!

     
    #44     Aug 21, 2005


  5. One of the few useful posts I have seen here .....
    and good advice for anyone constructing a trading strategy or ATS.
     
    #45     Aug 22, 2005
  6. Dear friend cosine,

    You appear to be a firm believer in Santa Claus kind of fables. What does a nobel prize laureate have to do with making money in markets?
    :D :D :D
    I'm not a fan of Jack's, but Jack could very well be more clever at it than your nobel little Jack in the Box.

    You remember how those scandinavian know-alls once bestowed a nobel price on market wizzards Black & Schol? They seem to have gone out of fashion in the meantime. If you look around a bit, lots of doubt about its money making value.

    Your friend, nononsense
     
    #46     Aug 22, 2005
  7. cosine

    cosine

    Dear friend nononsense,

    Would I be a firm believer in Santa Claus, I would still be trying to decipher Jack's sophisticated charlatanism.

    I have never refered to Engle's capacity to make money in the markets. However, allow me to be more confident in his theory and maths than in Jack's.

    As for black scholes, it's "money making value", as you refer to it, was sure not questionned when nobody had an actual idea about dynamic hedging. Black scholes has had its time, and has made a few millionaires in the process, dont worry.

    In the markets, everything "goes out of fashion in the meantime". Including all your TA books and Buffet's overused investment philosophy.

    Have a good day,

    cosine


     
    #47     Aug 22, 2005
  8. In case anyone was wondering. The Econometrics of Ultra-high-frequency Data can be found here.

     
    #48     Aug 25, 2005