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Actually they are negative in short time frames b/c of bid ask bounce. It's a simple mathematical proof to show that even with purely random price series you will observe negative autocorrelation as long as there is a positive bid-ask spread. I believe the original proof was by Jeniffer Conrad...

Don't have time to check your math, but the expectation will be zero regardless of where you start from. The logic T4A outlined applies the same way. It's a random process.

I've seen an academic study that showed how remarkably correlated the short term returns are on companies whose tickers look very similar for no other reason except that traders confuse the tickers. Can't think of the title now, but I can probably look it up if someone is interested. The...

Yes, but that's just one nuance of it. A lot more can be examined. E.g. which subsets where affected in which ways etc. This can have interesting implications for how the rule can be altered so as to still accomplish its goal and avoid impairing those who need not be impaired.

You seem to have a total abscence of any sense of humor as well. What I'm proposing is not based on any of my percenptions. I would be interested in seeing the results either way. I still believe that if you are any good, getting more capital should be the least of your problems. And if you...

Could be, I haven't had the time to read the whole article.

The reason I wrote it the way I did was b/c I was frustrated noone showed any interest. I thought people would jump at the idea. Apparently I was wrong.

whatever, I don't care how you spend you time at all. I'm sure you have a number of ways to keep yourself entertained. I WAS suggesting a clearly superior way to make your anti PDT case stronger though and if you are not getting it, I'm sorry dude, not much I can do here. My previous posts...

:D LOL. You might be right there. I might be opinionated like most of my opponents, but I'm also open minded if someone presents a convincing argument. I have to admit my views on market efficiency have changed somewhat after the EMH thread and after what some (very few) ET members had to...

What you have been doing is not nearly as effective as what a study of this nature would do. don't you get it? even if you ARE right, even if YOUR performance suffered, they dont' give a f@#@ about what happened in YOUR case. They care about the mean/mode/median/majority of the small trader...

Thanks for understanding, richtrader. I was in fact being sincere. I personally happen to believe the PDT rule probably did more good than bad and I made a number of statements that show why I believe what I believe. Then I came up with this idea yesterday and got a bit excited about it. I...

What the f### is wrong with you dude? Why are you so bitter? I WAS being sincere, I would be very interested in looking at the effects myself. And it WOULD be impartial. Numbers don't lie, first of all. Secondly, I don't have any agenda as an academic in this case, my previous posts on...

Just came across this paper: *********************************************** "A Century of Stock Market Liquidity and Trading Costs" BY: CHARLES M. JONES Columbia Business School ABSTRACT: I assemble an annual time series of bid-ask spreads on Dow Jones...

You make some interesting points. Obviously smart money isn't as "smart" now as it used to be. There's a paper by a guy from Arizona State (or U of A?) that looks at informed trading around earnings announcements pre and post Reg.FD. He shows that pre FD large block trades were in the...

Actually, we are in the process of reorganizing our venture to do smth similar. We started with a plain vanilla LLC with several investors but now want to establish a separate entity for the fund and have the orinigal LLC be the owner of the technology and the management company. So should we...

Why would someone starting such a venture prefer an LP to an LLC? If you are managing the fund, wouldn't you (the manager) have unlimited liability if you go the LP route?

Not a single reply? :D So I thought. It's one thing to whine and complain about how the rule supposedly sucks, it's completely another to do something real about it...

Hey, how about this, if y'all convince some broker to provide me with account level data for a <b>representative</b> sample of small size traders who are affected by PDT (before and after the regulation), I'll be more than happy to do a full blown academic study on what its effects have been on...

:D LOL

I'll PM you in a sec.