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Aren't firms like Citadel and Susquehanna trading options in an automated fashion? Aren't there systematic volatility hedge funds? I do think that with options trading, a backtest is something you do so that know what to experiment with in real-time, using limited capital. The results of your...

Thanks to everyone for their informative replies.

If a stock is trading at 10.00-10.01, and I place an order to buy 10,000 share at 10.00, will the broker I use (say Fidelity vs. Interactive Brokers) may a difference in the execution I receive? I think there is more scope for "price improvement" if I place a market order or a limit order to buy...

Let's be respectful. Yes, some women are much more attractive than others, but I would not refer to any woman as an "ugly fat pig".

Wrong! There is no reason to assume the Sharpe ratio of the S&P 500 approaches 1 over time. In fact, if you assume historical volatility of about 15%, a Sharpe ratio of 1 means that average annual stock market excess returns have 15%. They have been much lower.

Thanks for presenting your strategy. Here are a few comments and questions. It's been mostly a bull market. If every time you sold an option contract you instead bought 50 shares of the underlying stock, would your results have been better or worse? What has been your beta to the SPY, and how...

1. See the paper Recovering Probabilistic Information From Options Prices and the Underlying or the article Estimating Option-Implied Probability Distributions for Asset Pricing . 2. Looks like it. He is not market maker, and market makers are usually non-directional.

Here are some quotes from a Wall Street Journal story about how a successful hedge fund manager uses options. It is useful to be able to back out an implied distribution from a set of option prices that you can compare with your views and trade against if your view differs greatly...

I think a retail options trader should try to understand option theory at the level of Natenberg's "Option Volatility & Pricing: Advanced Trading Strategies" or even better, Hull's "Options, Futures, and Other Derivatives" or Wilmott's books. But the level of Shreve's "Stochastic Calculus for...

Amazon is starting a forecasting service for business, using methods employed in its own operations. Users will upload their time series data and use recipes to generate forecasts. The time series recipes Amazon offers (documentation is at the link) are ARIMA DeepAR+ Exponential Smoothing (ETS)...

To clarify, what I quoted appeared in the daily announcements, and I think it appears more than once a week, but it may not appear every single day.

At the public middle school my children attend in Massachusetts, the daily announcements include the following: Queer-Straight Alliance Are you LGBTQ+*? Are you straight? Or do you just really like rainbows? Then come to the Queer-Straight Alliance! At QSA, you can join whether you are an ally...

Sometimes I post when the markets are moving in a way that especially surprise me, asking for color. For example VIX and VIX futures were positively correlated with SPX in January of this year, which presaged the vol spike in February. I asked people what they thought was going on.

What do people think of Real Vision? Offering Inspiration and Advice, Real Vision Is HGTV for Hedge Fund Hopefuls By Landon Thomas Jr. New York Times October 2, 2018 ... For a modest fee, Real Vision will connect investors to a network of elite Wall Street analysts, traders and hedge fund...

That's true. For some markets that interest me, and which I have studied, I have created some indicators that predict daily returns in a multiple linear regression. I want to see if the same indicators can predict better when using methods such as SVM, random forests, and neural networks.

The NYU Tandon School of Engineering has created a Machine Learning and Reinforcement Learning in Finance Specialization with four courses on Coursera: https://www.coursera.org/specializations/machine-learning-reinforcement-finance (1) Guided Tour of Machine Learning in Finance (2) Fundamentals...

Ideally your model will predict both the mean and volatility of returns. Exponentially weighted realized volatility and GARCH models have been used to forecast return volatility. I wonder if ML approaches can do better at forecasting volatility. A trader should be aware of upcoming events such...

The machine learning (ML) literature sorts problems into two categories: (1) regression -- the response is a continuous numerical output (2) classification -- the response is discrete, often binary When applying ML to financial markets, you can treat return prediction as a regression problem or...

I trade closed-end funds, which have limited liquidity. Is there a mathematical model for how many shares of a limit buy order are expected to be filled? For example, at 1:10pm EST I think the market for DSL was 19.93-19.94, 500 shares bid and 700 offered. I placed a buy order for 10,000 shares...

Has anyone tried Alpha Trading Labs? https://www.wsj.com/articles/want-to-be-a-high-frequency-trader-heres-your-chance-1521797400 Want to Be a High-Frequency Trader? Here’s Your Chance By Alexander Osipovich March 23, 2018 5:30 a.m. ET Luke Merrick, a senior at the University of Virginia...