Search results

What sort of theory is that? Sounds arbitrary.

Exactly what I was wondering. I'm not able to find any research on this topic.. but I can't imagine it being too difficult to gather statistics on market maker quotes and and analyze the statistics to see which quote patterns from which MMs are most indicative of movement.

Heterogeneous volatility cascade in financial markets

You need natural log, not log10. >> log(110/100) ans = 0.0953

Which timeframe? I've read papers that suggest there are several distinct timescales where most structure exists and that the relative weight of each timescale itself varies over time.

For what timeframe are you calculating the mean? Daily, hourly, tick-by-tick, monthly? More than 1? If more than one, how do you determine what weight to assign to each mean?

What is so special about one day? What if each hour the market is in a different "bucket", what about minutely.. yearly? This can happen on potentially infinite timescales. There has been some research on "market heterogeneity" in which they actually separated out roughly how many distinct...

Drum n bass and Breakbeats

If you don't scale out then that means you are 100% sure that you are at the peak. But, in reality no one can be really sure so I would say it's always best to scale out, and the size of each trade should be determined by the estimated odds.

No, random entry/exit is just like buy and hold with friction for trading costs. So, it's not 50/50, its whatever direction the market is going.

What about scaling out of stops? Sometimes prices drop just far enough to stop you out and then jump right back up. If you spread your stop between 4 prices and 1 gets triggered.. bounces up and you take profit on the 3/4 left on the table.

That is what I am leaning towards as well. As far as I know the only way to distribute shares is to ammend some documents and pay fees. Not to mention, distributions would be a hassle as well. Just wondering has done this before.. using subaccounts. Either personal or as a llc..

Not really, why would I want to pay a wage to myself? I can still take distributions.. LLCs are "pass thru" as far as taxes go in the single-member case.. its treated as if I made the money personally. In the more than one member case, it is split according to the level of ownership. So the...

I'm forming an LLC so that I can get business rates for server leasing, and trade accounts for friends/family. My question is, should all of the money be put into the account of the LLC and the members then get shares in the LLC in return. Or should each member open an account with my broker...

Heterogeneous Volatility Cascade in Financial Markets Abstract: Using high frequency data, we have studied empirically the change of volatility, also called volatility derivative, for various time horizons. In particular, the correlation between the volatility derivative and the volatility...

You are smoking crack if you think you can predict on such a long timescale. Shorter timescales are easier to predict. But.. we shall see.

I dunno, I think his post was a bit harsh but I mean come on.. the original poster sounded like a poster-child for the anti-efficient market camp. How could you not laugh? Maybe im just an ass..

Fooled by Randomness He pretty much bashes the entire business and investment industry dismissing them as benefactors of randomness that stand out due solely to survivorshop bias. Start with a pool of 10000 managers and flip a coin, heads they win 100% a year, tails they lose 100% a year...

If you have access to the full book depth why would you have any slippage at all? I mean, slippage is the difference between estimated and actual transaction cost. With full depth you know with near certainty the exact transaction cost, so thus no slippage. Maybe this is not the case with nyse...

Even if he did have a track record, why would it matter? Been reading too much Taleb I guess...