Recent content by MrBrowser

Interactive Brokers is charging $4,332 maintenance margin for a position long 1 ES contract. Meanwhile, they are charging $6,456 on a position short 1 ES put. (Expiration May 20, strike 1975, value of put ~1 ES point). It doesn't make sense that shorting an out-of-the-money put would cost...

AMD to Cut 5% of Global Workforce in Effort to Reduce Costs http://www.bloomberg.com/news/articles/2015-10-01/amd-to-cut-5-of-global-workforce-in-effort-to-reduce-costs

I'm guessing you don't work in the industry. This is "not even wrong."

AQR emerging as one of the largest trendies, maybe the largest in the US, Managed by AQR founder Cliff Asness, the open-ended fund was started in 2010 and has $9.135 billion in AUM as of August 31.

At a firm allegedly using insider information it's unsurprising a small portion of the trades account for all the profit, since those trades would have an orders-of-magnitude higher edge.

The 10-year futures contracts in the big markets -- TY and Bund.

They may not have had reliable constituent data for their modeling, to be sure they were buying mispricings rather than falling knives.

CME is also giving it a shot. Not much volume yet, but if you're a long timeframe player it might work for you.

Did you read the book? I'm not following what you're saying. The book goes into data-cleaning in detail.

Olsen et al, 2001 talks about this subject thoughtfully and in detail.

If you re-read OP carefully, you'll note he was asking for advice on software, not on the merits of statistical techniques.

Big step in that direction today! SHAK Bid: 47.81 Ask: 47.84 Last: 47.81 Chg ($): -2.84

My bad -- I took you to mean end-user clients, rather than clearing firms.