Search results

http://news.google.com/news/search?q=oil+futures+spread Traders Jump on Oil Benchmark Spread Oil traders are finding new opportunities in a "broken" price benchmark. Activity has surged in crude-oil options that allow traders to bet on the difference in price between the front two...

The Fushigi magic gravity ball will read everyone's minds and predict the future!! :D

I don't personally use GARCH but I've seen papers using GARCH for index funds. I imagine it would work for relatively stable investments like index funds, bonds, currencies. For short time-frame (less than 3 months). What class were your investments? How long was your timeframe? Other...

Risk can be modeled using GARCH (generalized autoregressive conditional heteroskedasticity). Risk = future variance = future volatility. You can predict or estimate or determine likelihood of risk using other methods, so they're talking about combining multiple methods to better determine risk...

The markets contain a random component. Markets can be modeled as trend plus noise, where the noise is random. Whether or not you can use the noise to make money is an entirely different question. In many cases you're better off using the deterministic component to trade. Under certain...

I'm not an expert but something like wavelet scaling or wavelet multi-scale decomposition might be what you're looking for. http://www.google.com/search?q=fractal+wavelet+scaling+decomposition+stock+market

Common indicators? For sentiment indicators I've seen volatility (VIX) and put-call ratio discussed. A bit of googling reveals the CFTC COT (Commitment Of Traders) index which I hadn't heard of before [1]. What other short and long horizon indicators are good to consider? A nice one to have...

Are any of these considered "standard"? What do the big boys use? I'd be most interested in future economic/statistics projections. Something like Moody's or Morningstar's rating systems might be helpful too. http://www.lib.utexas.edu/indexes/titles.php?subject=Finance Business Monitor...

If your drawdown is more than your max drawdown in backtesting, stop trading. If not, keep trading. It's that simple.

Momentum strategy = growth stocks in a bull market. Rough measure of bull market = Dow 50DMA > 200DMA and only pulled back 25-30% below last peak (or 52-wk high). Of course this means you could suffer 25-30% loss while still thinking the trend is up. IMHO always be both long and short, or...

- What do you mean by markets? Returns? Trends? Prices? Volatilities? - It has been argued that returns are a Pareto (power) distribution. - Trends can be modeled as linear plus noise. The noise could be gaussian. In which case you could do something like mean reversion strategy. Is the...

Institutional trading was at one time somewhat correlated to amount of smaller and larger orders (blocks), with middle-sized orders not correlated. Of course, institutions might have changed their purchase sizes since then, once they realized they were giving themselves away. The only way to...

Here's an image from dailyfx.com via Yahoo image search showing forex correlations. It looks like the CRB index has the highest correlation? Note this isn't exactly what you want. If you want to predict, you'd have to shift the charts time-wise plus or minus a few time periods (add lag) and...

http://images.google.com/images?q=correlation+oil

R Journal http://journal.r-project.org/ Also note the Netflix Prize 2 was cancelled due to privacy concerns http://blog.netflix.com/2010/03/this-is-neil-hunt-chief-product-officer.html

IMHO only some news events matter. Earnings announcement/pre-announcement. Fed rate change. Etc. Also for "significant" news events you could probably tie them to a price movement. However the reverse is not true, you couldn't necessarily tie all price movements back to a news event.

Hi all, What journals / conferences / other sources of information do you use to discover new / innovative techniques for risk management / forecasting / data mining / etc? Some examples: Journal of Statistical Software http://www.jstatsoft.org/ Predictive Analytics World...

Try this book "Trading Regime Analysis": http://www.amazon.com/Trading-Regime-Analysis-Probability-Volatility/dp/0470987855 For more simplistic definition of trending regimes, look at bull market vs bear market comparisons. I can't find the link now but it's something like, when the xDMA is...

FFT/harmonics will rarely work. An example of where it will work is prices for heating oil... there should be strong seasonality every year. For equities/indexes look at forecasting time series, keywords: non-stationary, unstable, transition shifts, structural breaks, regime switching...

Worse than expected? The loss was narrower than expected. http://www.reuters.com/article/idCAN2320601620100223?rpc=44