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nice results Which year did you do the backtest on?

what's the rational for using a C-corp as a trading vehicle?

1) Have the daily NAV of your account handy. Note, there should be three columns for each day : i) beginning NAV, ii) ending NAV, iii) withdrawal/addition of capital The last column iii) is so that when you add/withdraw money to your account, it doesn't show up as a profit/loss Each day's...

Don't waste your time with simulators - if you are going to go bankrupt, it's best to do so as early as possible. Oddly enough, simulators and paper trading are really helpful the more field experience one has I think ... It's of almost zero (and possibly negative) value as a learn to...

Eichenwald's book on Enron gives good insight into how the SEC machine goes about figuring who to investigate. Pretty much what appears in the WSJ goes to the top of the inbox. So its fairly likely that Feingold is answering a lot of email from the regulators. Basically the SEC will look...

true, don't know all that much about risk arb, but I assume that the fundamental link between risk arb returns and stock market performance didn't change.

Pulvino and Mitchell wrote a great paper on merger arbitrage - gives you the big picture. http://129.105.97.51/faculty/pulvino/htm/papers/JF_MergerArb.pdf

Ah ... the secret magic number for stops is ... Well, there isn't one. Stops can be a surprisingly deep topic that you can talk about for hours with no agreement. It's a like a loose thread on a sweater - one tug and you might unravel your personal beliefs on how markets work.

I'm interested in what Mr Ruggerio has to say. It's an old topic, but if he can shed some new light on it, I am all ears.

The lions conserve their energy, lying in wait until they spot a herd of beasts. Even then, they wait for a stray. Even then, they wait for a stray that is somewhat weak or old. Only then do they spring into action. Everything you need to know about Grahman & Dodd margin of safety, not...

Larry Williams is genuine - I think I've seen his trading record somewhere.

um .... curve fitting?

Jamis, I think the TSY has 4 coupons to maturity while the Muni has 3. The time effect on taxes on the OID accretion are miniscule at current rates and over such a short horizon.

Thanks Dell boy I've thought about it a little more and come to the conclusion that it's all completed transactions. Bunching them would make no sense. This means, I think, that if you want to determine the size of a market order, you have to stitch up all the transactions of the same...

The non-callable Aug 09 TSY discount strip is at 3.924% YTM. Equivalent munis clock in at about 3.000% YTM. Two things account for the difference : federal tax + default risk The haircut here is about 23% (0.77 x 3.924 = about 3). So, without doing more precise math, you should buy...

Trying to clear up some cobwebs in my brain about how T&S is determined. If 100 lots to buy at market meets the following depth, what do we get on the tape? (assume FIFO, ordered by price, then time, then quantity) Ask 10 @ 1200 Ask 25 @ 1201 (earlier timestamp) Ask 25 @ 1201...

Rickshaw, don't suppose you could post a link or a pdf to the article? Thanks. I think a lot of the big funds moved in 2004.

Maybe someone can help me shed some light on this. if you use the log of daily close to close to plug into the formula for standard deviation to come up with an annualized volatility number you are 1) assuming that the instrument's range increases with the square root of time (ie hurst...

This is one of those weird little questions that gets to the heart of many trading issues. My take on this is : limit orders supply liquidity, market orders demand liquidity. Whether one order is better than the other can only be settled by trying to figure out how much more/less you would...

vulture there is a contrarian indicator somewhere in here, but too bad it's probably lagging. I find ET is great for the odds and ends of trading that don't quite fit into a focused board. I don't really use boards much, except for Wilmott, and I can say that the quantitative focus there...