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Thanks for pointing the book by Olsen, etc. Cannot find any more information about how he did data cleaning. Only one slides by Olsen on data cleaning. It looks like he considered very basic data cleaning, not much useful to me, at least. " Olsen FX Data • Data cleaning prior to computation of...

It is Monday. Everyone is talking about China.

SSE down 8.5% right now

talking to your broker on your trading over your cell phone while driving, you know, sooner or later, get killed in an accident .... this should be the most expensive

Psychology researchers found "we pay attention to bad news, because on the whole, we think the world is rosier than it actually is. When it comes to our own lives, most of us believe we're better than average, and that, like the clichés,..."

no matter what text there, just so hilarious!

The worst two day in Dow index since 1960 was down 26.17% on the black Monday Oct 19, 1987 following a Friday down 4.6%. The major reasons were said programming trading, market psychology and overvaluation. That sounds similar now. Will be fun to see what is going to happen next Monday.

Last time SPY down more than 5% in two days is Nov 1, 2011. Here is the complete list: Find the worst down in 2 days? 19971027 -8.1631 19980827 -5.2511 19980828 -5.0519 19980831 -7.4699 19981001 -5.8414 20000414 -7.0276 20010312 -7.1114 20010403 -5.3989 20010918 -5.4521...

Citadel was blamed/investigated for "evil short selling" in China. Not mention about HFT. that was reported a month ago.

No reliable source about this claim. All is from someone called from George Chen in Hongkong. Chinese government do not like guys like him who spread "unreliable" rumors like that. Actually, it is not a news that Chinese authority is investigating anyone who is doing illegal trading like short...

From his posted jpg screenshot, you see it is trademonster.com

https://en.m.wikipedia.org/wiki/Regression_analysis

Correlation is extremely important in risk control no matter others agree or not. it is a part of regression analysis.

a sign to turn around after that? since chinese labor cost becomes less competitive year over year.

very right. quant analytic or any sophisticated algo based on ideas such as C4.5 or SVM, etc are usually complicated that it is almost impossible to allow any external programmers or mathematicians to make things work. Something much simpler, so easy to copy, like only using a few indicators is...

The reason to have a false positive (good data but flagged as bad data) is due to it is almost impossible to 100% correctly detect all bad cases. so, the scanning need to be a little bit more aggressive for cases like suspicious out-of-band prints, suspicious spit or dividends. then you gets...

new phd graduats from university in math and computer science, even better they need your sponsor for a visa to work. c# is nothing but another language. a good programmer can learn a new computer language quickly.

recent XBI dividend payout was around 0.5 per share. that amount did not explain. call your broker. if there is a special payout that sometimes ETF do like SMH made a special payout of $8 per share some year ago, that may explain to you, otherwise it is strange.

haha, but what language he spoke?

your math is absolutely correct. your profit before considering other things is 150 * 235.29 + 100 * 233.18 - (100 * 230.77 + 50 * 228.7199 + 100 * 231.2092) = 977.585. However, if there was a dividend payout in the period you hold your short, you paid that amount of dividend to longs. That was...