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If you are interested in a broader one, there is a professor who creates a long winners-short losers index for the whole market and updates it periodically on his website: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/det_mom_factor.html

I second that. Also dark pools are usually designed to cross orders at or near the prevailing price anonymously so are not good environments for manipulation. The goal is to find liquidity without moving the price. At least that's what THEY want us to think.

The best goals for an 18 year old are to get a hot girlfriend and do well in school. Sorry I couldn't resist.

I just don't see the urgency. For all the talk, we are just now starting to see demand mildly affected as gas prices hit $4. And we are paying much less than other countries. Yes I know we use more than they do, but I still think they suggest we can pay more without crumbling. So I think...

I hate to bump a post but I am getting lonely ... So why shouldn't we hold onto this oil for now? Taking it out at this point is like an early withdrawal from a 401k.

I agree with the posters who said it doesn't work that way. But am I the only one that thinks we should wait until the world actually runs really low on oil to drill in Alaska? If the current crisis blows over and prices moderate, we get to keep our pristine wilderness with all the happy...

You clearly have not seen Red Dawn. We'll hold them at the rockies no matter what.

Hi Vasanth, I was in your shoes a while back. I did an MBA and when most of my classmates got internships between the 1st and 2nd years I got a technical consulting job at a financial firm instead. After graduating I got hired as a fixed income risk management analyst at the same firm...

I know, I am just giving you a hard time. It adjusts in 1/4 point increments and you said you thought it should go up by 1/5 of a point.

I am impressed, you instincts on monetary policy are so precise that you think we should decrease the adjustment increment from 1/4 to 1/5 of a point. Why aren't you working at the fed?

That is right. He means demand to borrow, not demand to hold bonds.

Does it really? I don't feel like looking up the calc right now but I would think we measure GDP in today's dollars. Is it maybe real GDP growth that gets messed up and total GDP is unaffected?

I keep looking at these threads b/c I want to hear some uplifting stuff about how a cool democratic country is showing some signs that is on the right track, and maybe learn something new about it. But all this trash talk about the US is annoying. Don't you realize most of us in the US would...

Actually this is not exactly true, there is a manipulation that happens around dividend time to ensure you don't get benefit from people not exercising when they should. The the assignment is random, but big traders can buy extra lottery tickets in the drawing when they want to. When early...

Hi i, I don't want to reveal the instrument/timeframe I am working on, but the general idea is that the relationship between the last bar's return and the next bar's return depends on the last bar's volume. So I break down the day into timeframes. I look at historical volume over a few...

I find volume is related to the probability that a short term move will reverse or continue. But it is non-linear and the same raw volume means different things at different times of day.

There is something called the Amihud measure that approximates liquidity with a linear regression daily returns on trading volume. You read it as "it takes X volume to move the stock 1%". I don't have time to find a reference right now but I'm sure google would work, Amihud is a finance prof...

I actually thought this sounded more interesting than what I am supposed to be doing now so I searched around for 10 min or so and didn't see anything. What did you search on?

primary control + residual cash flow rights = ownership If the fact that govt, lenders & others will take your property under certain circumstances meant you didn't own it, then you wouldn't own anything.

I got around to talking to somebody at IB yesterday and thought I would share. They are really charging very high margins on es options, it was not a mistake. On a short es 1415 april call (~50 pts otm) the initial margin is around $6800. Margin on the es is $4500 and the option premium...