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Hey guys, I'm either getting dumb or just too sleep deprived. Isn't every Excel function available in VBA via Application.WorksheetFunction. ? I thought so. I'm trying to use the Date(Year,Month,Day) function and it's not recognized.:confused:

Yep, I heard it in the background :D I think he blurted it out and then realized he screwed up and was hoping noone noticed :)

Close but not exactly. :D There are plenty of spotty and sketchy pieces of evidence that show a pocket of inefficiency here or there. They don't constitute proofs though as long as there is no unifying theory that explains them all. Having said that, I actually read a working paper that...

Not necessarily. There IS a buyer for each seller for <i>completed</i> transactions. That doesn't mean that others weren't left unfilled. The impact of those others is bigger than you think. I've got 100,000 shares to sell. 10 other want them and keep outbidding each other (they wouldn't...

That has been done. There are papers (academic) that show that money flow/oder imbalances predict price movements. As for a series of L2 snapshots, I actually have complied one, for a slightly different reason. I might work on it one day when I have more time...

Has it become more so recently, I mean the preferences you indicated?

I told them mine was Vladiator and still got 18%... Are you saying if it weren't for the name I'd be 0%? Maybe I ought to try with a diff nick. Funny test though.

Hey guys, I have a question for ya. I haven't lived in this country long enough to know this, so help me out. It seems like every time you turn on the news, there is something dramatic, tragic etc. Has it always been this way b/c the media skews the coverage toward such attention grabbing...

That's what I figured, but I couldn't find any publicly available info and I wasn't sure if it was available for free at all. Thanks for the info, I'll check their archives as I need to look up a bunch of other NYSE rules and regs.

I'll PM you in a sec.

Good answer, I have to give Knight credit. But that's just getting into semantics. In finance, as long as the future outcome is <b>uncertain</b>- i.e. the second moment is not zero, the realized result can differ from expected one - that's risk. Whether you know the odds or not, it's still...

Thanks!!!

Try stepping away from the picture to get a bird's eye view and first think of what <b>could</b> be profitable given how for example large funds rebalance, or what happens when a stock hits some level (e.g. $5 and the margin calls' effect) etc etc - then, once you have an idea of what COULD...

Uncertainly IS the definition of risk. Risk is not in the chance of loss, it's the likelihood that the materialized outcome will deviate from the expected one.

PCLE is a good example. Relatively large cap, abnormal volume yesterday, not much news coverage, sizeable close to close gap - clear signs of overreaction yesterday. Up handsomely today.

I'm a PhD student, publications are a GOOD thing to have :D. The reason why it "needs" to be published is b/c it addresses how the confluence of microstructural and behavioural aspects (e.g. overreaction to private information and underreaction to public info (see Hong and Stein, Journal of...

Once you screen for everything (it's pretty mechanical and the tests are quite restricting), you'll be suprised at how few instruments remain. It's not unusual to only have 2 setups in a week.

You are probably right. that's why it's currently undersubmission to an academic journal (at least a pruned down version of it).

Some states do require licenses. At least Series 65 I think.

Did you want me to give you the exact parameters of the model? Like the gap has to be this % big, the volume this % bigger than normal, etc etc? I spent years finding these and I'm sorry, but I'm just not that altruistic. Secondly, I'm finding that even with the size I'm trading, and even...