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Read the writing of John Ehlers. You can google it or there are free articles on his web site www.mesasoftware.com. Basically, MAs are low-pass filters. That is, low frequecies are passed through and high frequencies (i.e. noise) are filtered out of the data. The argument is that in...

A minimum time frame for quotes to be honored is an excellent way to stop quote stuffing. To stop front running, you would need to add a random amount of time to each orders time stamp before it goes into the queue. Say a random amont of time between 50 and 250 millliseconds. There would be no...

I think a better solution is to append a random amount of time, say between 100 and 200 ms, to every order that gets submitted. That way, the HFT algorithm will never know exactly if it will be able to step in front of another order.

You could also try John The Ripper http://www.openwall.com/john/

Taleb's approach is to take no risk, and at the same time take large risk. In other words, put your money in t-bills/bonds and use the interest from those to purchase OTM options. I suppose what you lose in this strategy, if no black swan event happens, is capital due to taxes, inflation...

<b>What makes order flow toxic to market makers?</b> Lopez de Prado: An order flow is considered toxic when market makers provide liquidity at their own expense. Market makers are constantly in the market providing bids and offers, or providing a trading range around the bid and offer. But if...

Perhaps the theoretical price would be different slightly because of using sqrt(356) instead of sqrt(252) in the pricing models. Also, there wouldn't be a weekend effect on volatility.

If your router supports it, what you want to do is create a separate VLAN for your wired connection ports, and then firewall off the two subnets with appropriate rules. As mentioned, if you can flash your router with the DD-WRT firmware, they have excellent documentation on how to do this.

Since the market tends to run in cycles and be fractal in nature, I suspect that whatever strategy works best over X time period, will give outsized returns in the following X time period. The work of JM Hurst and books by Edgar Peters show examples of this (look them up.)

Is this an intentional pun? Perhaps you mean layman?

"The inherent vice of capitalism is the unequal sharing of blessings; the inherent virtue of socialism is the equal sharing of miseries." -Winston Churchill Capitalism does not work if you have all chiefs and no indians. Socialism and Communism do not work, because there is no money in it...

Here is a good reference article. As has been mentioned, there is nothing particularly magical about Kalman filters or any other filter in and of themselves.

DECO & 377OHMS, Do you guys have an opinion on using the MESA (All Poles) method to find and trade the dominate cycle? Thanks.

The Kalman filter is just that, a filter. That is it smooths your data with minimal lag. The work of John Ehlers (Rocket Science for Traders and mesasoftware.com) is good material to explore if you are interested in low pass (FIR and IIR) filters.

The difference could be the underlying algorithm they use (Newton-Raphson vs. Bisections vs. other), or less likely, whether they use a BS or binomial pricing model.

Here is the attachment.

The best way to do this is build a normalized volatility surface (see attached.) These surfaces are fairly stable over time. This means you can compare the current six month IV with the surface IV with six months until expiration. If the two are different enough (that depends on your risk...

That's called an ad hominem attack btw. I happen to agree with Taleb in principal, but it's just not all that palletable of an investment strategy. What he advocates is to buy t-bills, and use the interest income to buy far OTM options. That seems sound in theory, but I have never seen any...

I urge you to seek out the work of John Ehlers. Lots of his code is freely available on the web if you can program a little bit. Also, his book Rocket Science for Traders is very helpful.

Here is a C++ implementation of the Method of Bisections, by Bernt Odegaard. #include <cmath> #include "fin_recipes.h" double option price implied volatility call black scholes bisections(constdouble& S, constdouble& K, constdouble& r, constdouble& time, constdouble& option price){ if...