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Question prompted by this article: https://www.wsj.com/articles/chinas-star-board-defies-financial-gravity-in-a-hot-market-11598434202

I think Chesapeake Energy stock is going to zero, given that it is likely to file for bankruptcy, and that its bonds are trading at about 10% of face value according to https://www.nytimes.com/2020/06/09/business/energy-environment/chesapeake-energy-bankruptcy-protection.html , so I would like...

So, to be specific, I could place a limit buy order at 10.10 at 3:58 PM and not be filled even though the price in the closing auction is 10.09? In order to be sure my limit order participates in the closing auction it has to be sent by 3:50 PM?

Fidelity allows only market-on-close, giving an error message "A Time in Force of On the Close is only eligible for Market orders" if you try to place an LOC order.

The retail platforms of Fidelity, Schwab, and Merrill Edge do not offer limit-on-close (LOC) orders (I just tried), but IB does offer LOC orders. Suppose an illiquid stock is trading at 10.00 - 10.20. If I place a limit order to buy at 10.10 at 3:58 PM that expires at the end of the day, does...

Some stocks with multiple share classes that are actively traded on a U.S. exchange are (using Yahoo Finance symbols) BRK-A, BRK-B (Berhshire Hathaway) RDS-A, RDS-B (Royal Dutch Shell) What are some others?

You could fit a "vector autoregression" (VAR) to test for "Granger causality". The equations for a VAR(1) with two variables x1 and x2 are x1(t) = c11*x1(t-1) + c12*x2(t-1) + e1(t) x2(t) = c21*x1(t-1) + c22*x2(t-1) + e2(t) where e1(t) and e2(t) are noise terms. If c12 is statistically...

Buying or selling a 1-month option is inherently a short-term trade, but a regularly selling 1-month ATM straddles on the S&P 500 to harvest the volatility risk premium could be considered a long-term investment strategy. I am not saying it is a good or bad strategy. The long term is just the...

Some researchers have suggested varying the length of the moving average based on market realized or implied volatility, a current example being Adaptive VIX Moving Average with Ehlers Alpha Formula by David Varadi December 4, 2019 I wonder if traders have found such modifications to be useful.

Two comprehensive lists on Github of resources for quants are https://github.com/EliteQuant/EliteQuant EliteQuant: A list of online resources for quantitative modeling, trading, portfolio management https://github.com/wilsonfreitas/awesome-quant awesome-quant: A curated list of insanely...

A very simple trend indicator is whether today's price is higher than the price N periods ago. This measure, called rate-of-change (ROC) or momentum, has been used in academic studies, where one buys/shorts the quintiles of stocks with the highest/lowest N-month momentum, where N of 6 or 12 is...

This morning my R script ran at its usual speed. I hope the problems yesterday morning were one-off. Thanks to everyone for their suggestions. To answer the question above: for #symbols = 493 Time elapsed(s) (total,per_symbol): 825.32 1.674077 Daily data is retrieved for each symbol from...

Thanks for the information. How do I generate a new cookie for each session in R? The R code for the function getSymbols that gets the data is at https://github.com/joshuaulrich/quantmod/blob/master/R/getSymbols.R Here is the block of code that has "cookie" in it: new.session <- function() {...

Thanks d08. I added a Sys.sleep(10) line to pause for 10 seconds between requests. There are still failures to get data for some symbols, and of course the script runs much more slowly. I wonder if there is another solution.

I have an R script that uses the quantmod library to pull daily data for about 500 stock symbols every morning. Usually it works fine, but today it is giving "HTTP error 401" for many symbols, although it is getting data for some. Has anyone had this problem? I don't know if my R code needs to...

Interesting thread. A good forum for discussion of automated trading at Interactive Brokers is https://groups.io/g/twsapi .

Investing in Cryptocurrency Is Risky. This Fund Is Just a Bad Idea By Lewis Braham Barron's Aug. 23, 2019 6:52 pm ET ... Etherium is not easy to explain, but let’s call it a programmable blockchain and a cryptocurrency. The Grayscale Ethereum Trust is also hard to explain—it’s not quite an...

Yes, but their expected inflation is higher than in the U.S. and the 10-year interest rate is more than 1% lower.

Why do U.K. 10-year gilts yield 0.87% when inflation expectations are 2.7%? I am thinking of shorting 10-Year Long Gilt Sep '19 (GU19) . I understand that it's not an arbitrage and that UK bond yields could even go negative, as they have in the Eurozone, Switzerland, and Japan. But I don't...

I'm a Republican who will either vote for Trump or no one in 2020. He's better than Bernie Sanders would be. But's he still an impetuous, ignorant, and dishonest man. A choice between Trump or Biden/Sanders/Harris/Warren will be pathetic. Trump Baffles With ‘No Rush’ China Trade Tweet, Delete...