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Sorry I forgot to add the url for Farmer's paper: http://www.santafe.edu/~jdf Marc

A great place to start is with Doyne Farmer's paper "The price dynamics of common trading strategies". The math isn't complex and the bibliography is staggering - a goldmine of valuable information. The Engle, Huang, Chan and Brock / LeBaron papers are my favorites. Also any papers from...

I've been working on the QQQ's for a while and I'll offer up a few of my observations, fwiw The arb btwn Island and the rest has doubtless faded due to increased competition to do the arb, fewer providers of 'arb-able' prices and increased transparency of prices- although they still appear...

It seems like we're looking at the difference between a sampled RSI value and a historic RSI value. For an x-minute bar at the time of sampling the stock price can take on more than one value, e.g. at 0937 a stock's price could be 41.35, 41.33, 41.29, 41.23, 41.18. Each of those prices would...

IB is pretty good and they've improved in the past months. SLK is ok, too.

Check out www.ivolatility.com They provide IV, HV, Beta for a whole spectrum of equities and indexes. You can create a list of stocks and down-load the data to a csv format and then into excel or access! N.B. Noted your handle. Are you using AI (NN and GA) to create trading strategies...

and most of my friends still on the CBOE and Philly exchanges lament how much more difficult it is to trade down there. Tighter spreads, increased competition, blah, blah, blah. It's always tough to wrench a buck out of the market wherever you stand (or sit). I've been successful...

There are a few calculations to be done: Rebalancing frequency: How often will the delta hedge be rebalanced over the life of the position? This is very important, especially with respect to the anticipated profit taken at each point. If the expected p/l from rebalancing < costs (commish...

In practice, it's usually necessary to have a rather large capital base to make "trading the whip" worthwhile. Certainly you'd need options positions that need re-balancings > 500 shares or so...I'd think that transaction costs might be prohibitive anyway. I trade derivatives and I ran a...

that the mark-to-market option must be elected in the year prior to trading. What you really need to do is speak with a tax professional (an attorney or accountant) about this, right now. Don't mess with the IRS, they can hurt you!

I understand that the IRS or Tax Courts have not acted on this particular issue directly, yet... My acct and atty say that it might be (egads) up to an individual IRS auditor and his supervisors to decide on what course to take. I certainly wouldn't want to be the test case on this particular...

Pairs trading relies on "mis-pricing" and requires an eye on the fundamentals and the technicals for the stocks in play. There are a couple of large caveats to this methodology: 1. Most of those new to this type of trading are attempting to model a securities price - at the bare minimum...

Empirical evidence suggests that the markets are a non-stationary process- the average return and variance of the returns changes with time. The asset returns of this process are not normally distributed - are you familiar with the 'bell-shaped' curve statistics? Simplistically, there...

Most intern programs will rotate you through a number of desks in a division. In f/x, almost everyone starts with spot, moves up to forwards, then on to plain vanilla options, then exotic derivatives and structured products. Some places will also rotate people through operations (trade...

pay better than commercials, have a bigger product mix and generally less restrictive risk managers. Don't forget hedge funds, however, they're buy side and appreciate / reward strong analytical thinkers. If you want to trade, though, get on a trading desk. Equities, FI, credit derivs...

That's a 1 with seven zeros following! Two to three years is far too early to be taking home that sort of bonus, imho. There's money in f/x, but again it's down to institution, skill and how the market has been performing. If you knock the cover off the ball but the rest of the room...

It's all over the board, dependent upon institution, skill and market dynamics. I ran a f/x derivatives desk for an investment bank. While I won't discuss my personal pay structure, when I hired new staff, the starting salary was generally $75 - 90k plus bonus based on group profitability...

Gordo: I'm using reuters dealing 3000. In this product you call a dde link with the following command line in the cell you want to display the data in: =reuter|idn!'msft,prim act 1, last' But if you have reuters running , search help for dde and follow the instructions listed, it's a...

CNBC is effectively worthless. The Fed cuts rates and they're babbling on about which bond fund to own in a 401k or some dolt from Podunk is asking about the future of CSCO or GE or MSFT for the umpteenth time. Forecasts by analysts who, for the most part, have underperformed broad indexes are...

FWIW I have used the NYSE tick with all trading. I find that the Nasdaq tick is too erratic, often swinging wildly btwn -25 and + 25, without significant correlation to the underlying market and movement. Cheers