Recent content by Emilio_Lizardo

Murotrading, given your position with Chimera, you must have some color on this. WTF was Sapeika thinking?

Mutluit. Stop posting. You're only digging yourself in deeper. Yes, just lurk until you know what you are doing. Your idea that you can backtest option trading strats on model-based prices derived from recent realized vol is the most idiotic thing I've heard in a long time.

Is this still working? I notice that the ISE has made some changes to COB quoting in the last few months. Consolidated COB order book is still pretty thin, especially in less popular names. So there is plenty of room for a boatload of DIY RMM'ers. I can see why it recalls RAES...

It looks like my earlier post was mistaken. According to this Financial Times article, ETF patents have been granted: http://www.ft.com/cms/s/0/deb8be60-4756-11e1-b847-00144feabdc0.html#axzz2BJSrS5mf

When estimating pairwise ETF correlations using 5 minute bars you should correct for Epp's Effect and microstructure noise, otherwise your estimates will be severely biased. The corrections developed by Zhang et alia in papers between 2005 and 2011 are as good as any. The RTAQ package in R...

Patents have been granted on Stock Indices, upon which ETF's can be based, but not on the ETF's themselves. No stock index patent, AFAIK, has yet been challenged in court, so no telling whether this type of patent will hold up. Proprietary indices like the SP500, for example, are usually...

Lay article on recent research: http://www.sciencedaily.com/releases/2008/09/080924151018.htm Good survey article but a little out of date: http://pubs.acs.org/cen/science/87/8731sci2.html Paper on possible mechanism: http://www.ncbi.nlm.nih.gov/pubmed/18843793

How old are you Brass? These levels are excessive for anyone over 35. Reduce your protein intake to 0.50 per kilogram of lean body mass. Reduce calories too. One of the main drivers of the reduced mortality associated with caloric restriction is reduced protein intake.

You might have a look at Patrick Burns' (frequent contributor on Quant Finance Stack Exchange) Portfolio Probe blog for code to apply shrinkage methods to that matrix. Raw historical covar matrix is pretty unstable. What you really want is the expected instantaneous covar matrix -- the...

Be careful with ursolic acid: http://www.ncbi.nlm.nih.gov/pubmed/21703625 You may be trading short-term gains for long-term problems. Patrick Arnold's reputation is, at best, mixed. I am not sure that citing his self-interested medical opinion advances the discussion.

I see you've posted your email address. If you know how to run BitTorrent I will email you a torrent for Natenberg and Sinclair. Let me know.

Why not trade on the open? Signals grow stale with time. I would get in as quickly as I could.

No, it's not. The appropriate null consists of random longs with 4% target and 4% stop, not the buy and hold return. During the [carefully chosen OOS] period such random longs hit at a nearly 75% rate, for a nearly 3 pf in the null case. Also, keep in mind that with such a wide target/stop...

Hi James, Can you introduce me to Stevie Cohen? I have something that will make him a lot of money.

Jeff, If you had no losers in your backtest, how did you calibrate your stop level? Stops that are never hit are usually too wide. Tighten them up and your expectation would likely improve. A model with no losers, unless it is severely capacity constrained, is usually leaving money on the...