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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).

----------------------------------------------------------------------------------------------------- Originally, I've created this thread in the "Journals" forum (because it is supposed to be one). But somehow we are here in Automated Trading and of course people are right in criticizing my...

Really?! Thank you very much! It'd be great! I've never been in Chicago before. The hardest part is to convince my wife :) It's always the same thing... California, Nevada, Florida and NY. Right now I'm reading that PhD thesis (and I will stay up all night).

This year I started to design/program games (in Unity) part-time. While I was playing my own prototypes, I realized that knowing the details takes all the fun of the game. I could add randomness, but still... before that I even tried to create a video poker trainer for me (a game that I enjoy)...

Phew... I always think I'm missing something... some slang, something I should know. I had to google everything.

This is gold! His PhD thesis is the kind of work I'm looking for. The subscription fee of this forum is finally paying off! :)

Unfortunately, there're just a few (retail) trading platforms where I live. It's a shame. Firms try to "import" platforms like NinjaTrader, MT5 etc, but they fail to integrate them properly (stability issues) with the local infrastructure. But I see that as an opportunity. If I have the chance...

Certainly I will test it in practice (it's the most important section in a paper for me). I've traded using NinjaTrader, Thinkorswin, MT4, MT5, Tradestation, "TastyPlatform" (lol) and a dozen more outside the US. Now I know just what I need and I'll probably use some nice open source code base...

Tale closing: Just to clarify a little more about what "anti-risk approach" means in this context: Last week I happened to watch a video of some guy talking about "barbell strategy" and googled it. That's more or less what "anti-risk" means to me, but in general. The important thing is that it...

You guys are great! That's what I expected to hear from you as I didn't have the time to explain more about my “strategy”. In the next days I'll clarify things, but, for now: I am a student and this is just a theoretical work (but, as I said, I'll test it in the wild) I'll not trade in the US...

My background is in Mathematics, Statistics, Data Science and I have basic/intermediate programming skills. I've been trading/investing by myself since 2003 (not for a living). My goals here are to: share my advances in this area of research share my thoughts about related stuff pick up tips...

Recently I've started to research about order book models and HFT (incidentally). Note: Although I don't intend to trade this way, I need to implement proofs of concept to test hypotheses (as I won't backtest tick data). So I'll trade occasionally. I know I contradicted myself. My approach is...

I know it's not what you are looking for, but there are other markets where it's possible (for Futures, Stocks, Options etc.) and it's sort of default. In Brazil, for instance, blind brokering is an exception.

About your answer: That was great and insightful! I had no clue about those books and facts you mentioned (I'll certainly give a look). The information per character is off the charts! And it's about to decline: About academia (sort of): My daughter will be born in 6 months and I intend to...

The month I discovered I was a "natural born trader" (like the turkey being fed until Christmas Eve): I started deciding between ES and CL CL it is After that month I fixed my target at $5k/day Between 3-4AM and 6AM (GMT -3) I was already done with it But I was missing the cake time (aka...

I will certainly look at the papers you have indicated. I was studying something along those lines, but I think that maybe I'm wasting time with tempered stable distributions (although research in the area is hot right now and I'm looking for a PhD in the next years). Thank you!

Changing the subject to a related one: Maybe I'm wrong, but I think the magnitude of the eruptions of a volcano follows a power-law distribution (a power-law!). And time intervals between eruptions maybe (again, I really don't know) follow some kind of exponential distribution. Nonetheless...

Of course it was not for the money. I think I just looked underage at the time... but I had my driver's license with me, and she said politely that she's been asked by they (pointing to the camera) to show my passport or leave the room.

Exactly, in my approach to trading, it was natural to reassess the scenario as the information flows... of course this is bs... Once I played the roulette (an automated version in Argentina that allowed smaller bets) just to "prove" a point to myself. I started with $16 total and individual...

It's really awkward to play a loser's game and win. I've been in Las Vegas a couple of times and enjoyed playing videopoker (jacks 'n better). In the optimal strategy, your overall chances are a little less than 50%, but the variance is high. So the trajectory of your "account" (in a particular...