Search results

i've run a little bit of daily correlation analisys though i dont use it in my trading. you also need to decide whether you're interested in correlation of two price series, or two returns series. the correlation of returns will tell you whether two series tend to do the same things at the...

agree with gbos, i think they mean displacement at every step inclusively, or Standard Deviation. rather than just displacement by the last step.

reading a couple of other articles on this, it seems that ASIC is not after citibank because a proprietary trader bought more shares than anyone else on the day. they're going after them because he sold some after allegedly hearing that citibanks commercial arm were unhappy about his trading...

http://www.theaustralian.news.com.au/common/story_page/0,5744,18671033%255E643,00.html

Sure, just becouse there's non-random behaviour doesn't mean everyone knows its there or how to trade it. If theres selling on a good announcement then either someone knew in advance, or many people expected it. If many people expect correctly then your inside information is not much good. I...

It is if its a two headed coin :D Actually coin tossing is not an appropriate annalogy to the market because in a coin toss we have advanced knowlege of how the "observations" will be created, by a "fair" coin toss. In the markets, for all we know the "coin" might be slightly unfair, or...

"You really sound like a quant, albeit of the random kind. Love to see you guys in the market while trying out settings for random filters." ha ha, sure but it seems he's tested it well enough to be otherwise confident in the system, and that this is the final confirmation he needs. He did...

I am a Quant Developer user, it does allow you to record quote and depth data from your data provider. However my guess is that trying keep a track of where your order is in the queue this way would be near impossible. I think the idea of a randomised filter if a trade just touches youe quote...

i read that a trader doesn't even have to know that a big order has been placed at their firm in order to front run. especially if vwap orders and the like are placed via an algorithm then all the trader needs to know is how the algorithm works and it may be possible for them to determine when...

science_trader is right, that 1% means your 9 losses in a row can happen on average once every hundred trades. thats pretty often I would've thought. also that assumes an even distribution which trading systems rarely exhibit. you refer to losing streaks but streaks actually refer to a...

I'm not sure whether its 90% of traders win or 90% lose or something else but I'd be willing to bet this, the fewer who win the more they win ;)

The Mathematics of Technical Analysis: Applying Statistics to Trading Stocks, Options and Futures Its entry level into complex statistics for traders. But at this stage it's more on how to understand, rather than impliment statistical analisys. A good intro.

pipscooper, the difference between markets and poker is randomness. as you've poiunted out random behaviour on your part helped you avoid other players taking points from you. if there are price movements in the market which are random then they cannot be forecast (just as your bots random...

It may or may not lead to the creation of another efficiency, so the answer to your specific question is no. Here is an example where another efficiency is created. A new MarketMaker enters the market offering tighter spreads and making the market more efficient at MarketMaking, yet traders...

zf trader I've always wanted to try that, glad to know it works. I wonder whether it can be incorporated into a mechanical system.

One thing to bear in mind is that if the historical data you use presents the market as perfectly efficient (no opportunities for you) you still have the possibility that you may get better fills than the next guy, but that will require another level of efficiency in your setup.

Everyone here is giving a different opinion without a thought for the fact that we all trade different systems, therefore we can all be wrong :D I trade a mechanical system with a two or three bar memory. It doesn't matter how you set stops, fixed, volatility based, noise level, they are...

I'm a mechanical trader, I dont even hang around while the markets are open so quantifying is everything. What I'm trying to quantify most is whether there's an opportunity for profit in the market using one or two models (of non-randomness). In other words my program is 'watching the market...

scientist? far from it. I dont actually trade using this stuff as such, but I certainly find it useful to understand some of it. I actually believe that academics can get overly caught up in the 'academics' of what they're trying to achieve rather than continuing the search for what works...

I'm saying randomness in the market is efficiency in the market. The mirror image would be to say that an efficient system is one which exploits non-randomness in the market. If there is only randomness then then the future cannot be reliably forecast. If there is non-randomness then the...