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I posted this on another topic but it looks like what you guys are talking about, can anyone help me understand this? --------------------------------------------- Sorry for getting off topic but you mentioned stocks getting pinned to a strike on expiration day. Could you tell me how that...

I did a lot of relational database query tuning a very long time ago, so the following is dated and maybe no longer relevant. FWIW, here is what comes to mind: 1) what everyone said about indexing is right but you can get around the update speed issue by making indexed read only versions of...

Sorry for getting off topic but you mentioned stocks getting pinned to a strike on expiration day. Could you tell me how that works? I have heard that before but always thought it should work the other way, like this: 1) short option holders delta hedge more than longs, so they should drive...

see if the answer is in here. I think these guys reconstructed the limit order books during halts or something like that. https://www.business.utah.edu/humis/docs/person_1167_1198074566.pdf

I took another look and it is not as exciting as I thought. For 1/3/00 - 4/5/07 the average difference between yesterday's high and close was 11 pts on "signal days" and 5 pts on other days. The result was similar for 1/3/06 - 4/5/07 too. Of course it is harder for the market to break...

With some programming you can do this with SAS. It's what most academic finance researchers use, and they do a lot of studies where they backtest trading strategies for the entire universe of stocks over long periods of time.

find the customize layout option, you can get the stop price to display

I was kind of skeptical but looks easy to test so I tried it with some S&P500 data I had lying around. It actually looks like it might work for the highs - I'll be damned. On days where you said the high was harder to break, here are the results...

Also sometimes trades are reported slightly slower than quotes. I am talking about normal conditions, not just late reported trades. It used to be a standard rule of thumb with NYSE data to match trades with the quotes from 5 seconds earlier to get around this.

Maybe these are real trades that "walked the book". That means the trade was for a larger size than the bid or ask size and executed against the next limit order out. Have you compared the trade size to the bid/ask size to check?

I was an engineer and I (sort of accidentally) ended up working in finance but not trading. I got an MBA thinking I was going to go into technical managent and decided I liked finance a lot better. While I was still in grad school I did some technical consulting work at a financial...

I am actually reading a paper on this now and trying to figure out if I can come up with a tradeable strategy from it. They use monthly returns from an index that should be closely correlated with the S&P and a list of 35 or so industries based on SIC codes. It looks like their results say the...

OK I'll bite, what are these numbers? p-values from some kind of statistical test?

How long are you going to live there? IMHO if you are comitted to staying indefinitely and would be willing buy the stock on margin anyway this might be your best source of financing. Otherwise probably too risky, having to move when you have negative equity would really suck. I did this...

I can't believe this thread is still going on. Here's my reaction to the last 30 pages of posts ... To the guys who succeeded without a degree, what are the chances that some stranger on a messageboard you are giving advice to is as motivated/talented/smart and lucky as you are? I really...

Don- Thanks for the repy. But I actually meant why can't the company trade in its own options in the company's account, like the way they do stock buybacks.

I have been wondering about something related. Can a company trade its own exchange traded options? I am sure you can't load up on your own puts and stop working, but what rule or mechanism prevents a company from doing this? What does the CFO tell the new guy in the office who proposes...

Merry xmas to you too! I basically agree with you in general, if one has a goal and college is not the way to get there cool. It just sounds like where this guy is starting from he is better off getting his degree and having it before moving on. If you haven't figured out what you really...

Would you give the same advice to somebody thinking about quitting high school? If you are not 100% into it don't bother? It seems like many of the same arguments apply - it just prepares you to work for somebody else, you can learn a lot of that stuff on your own, and it doesn't help you...

To WallNBroad and anybody else in your shoes: Just finish the damn degree! I did school when I was young and again in my 30's with a family and job, it was a lot easier the first time. Some people get more out of school than others but all else equal it's better to have a degree than...