Recent content by Transatlantic99

my 2 cents... OLS regressions are heavily flawed BUT you will see certain forms of regressions used in certain endeavors... * CoIntegration: where we are more concerned with the stationarity of the residual series which is an artifact of a regression amongst different instruments *...

May I suggest perhaps you are not as far ahead of the some of the top hedge funds and IBs in the world as you might think. LOL Don't make the mistake of thinking all institutional money = dumb money. That would be very sloppy thinking. Transatlantic

Haha yeah I'm lazy. Good one. You obviously know me so well... Love the way you can read into someone's entire background and knowledge of a subject based on one short post on ET. You are obviously very talented. Perhaps you should go into business as a mind reader or psychic. Good luck...

This is actually false. Granted, I am NOT saying anything can be forecast with 100% accuracy, but rather with positive expectancy in statistically significant way, yes. Fyi the market completely disagrees with your view right now. Banks and hedge funds are throwing money into high...

Counterpoint: 1) There have been several highly credible papers written on the effectiveness of GP in terms of overall robustiness of out-of-sample returns. This is in line with the "Adaptive Market Hypothesis." 2) I can state for a fact that several top quantitative hedge funds and...

the difference is, at the 50ms end of the spectrum you will be able to more quickly generate a statistically signficant number of trades while being able to recalibrate and refine your model and adapt to changing market conditions... on the other end of the spectrum, not so much so...

wow, are you serious? what do you think is easier to predict, what is going to happen in the 50 milliseconds or what is going to happen in the next 1 year??

Actually some of us are still using the Grail in differing capacities. Only now am I realizing how far ahead of it's time is was, especially at the retail level. Even on the institutional side, you would be surprised how advanced and far along some of the concepts in the Grail are, and how...

Hi Murray, Congrats on Simple Harmony. Question for you: how do you think the system would do if traded intraday, say on 1hr bars? While perhaps not ideal, if prices are really fractal in nature, it should still reasonably well, correct? Interested to hear your thoughts...

couple of things regarding Tradestation (in its favor actually) 1) Tradestation can talk to Matlab. google 'Tradestation Matlab'... 2) Tradestation EasyLanguage can reference user-created .dll's - so if speed/extendability is an issue, this is not perfect, but it does alot certain things...

No. Just No. You don't get it. I hope you are kidding but it doesnt sound like you are. Daytraders caused this bubble? Uh, NO.

yes there is. CVIX Index in Bloomberg. Deutsche Bank FX Volatility Index

Hi, I was wondering if anyone knows of any real-time trading software thats supports serious econometrics/time-series analysis functions and stats, either natively or through some add-in or interface. I am not looking for the simple linear regression on price itself. Rather, am looking...

Hi, In my educated opinion I would say #1, all else being equal. Going from #1 --> #2 is a double whammy, as you are adding a parameter (losing a degree of freedom) AND drastically reducing the number of trades. How many total parameters do you have? Transatlantic