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Actually there are and competition to trade with them can be fierce. Payment for order flow is based on their existence, and so are a lot of the dark pool rules. But if you meant less of them make it onto an exchange to find a limit order placed by a retail trader I would agree.

Interesting discussion on adverse selection and uninformed order flow. I have done a little work in this area and the markets have changed a lot. Here is the short version of what I have seen: There is a way to measure this by decomposing the spread on a trade into the price impact and...

Mark, impressive work and thanks for sharing all of this. If you still here and not to annoyed by the bs posts to answer a couple of questions: 1) What you are doing seems reasonable, but with so many possible combinations of signal 1 and signal 2 do you decide when to stop? With level and...

I have been thinking about this for a while and meaning to crunch some data but have not found the time. It seems like there should be something interesting in looking at book imbalances. I would think if market order flow is random (or uncorrelated with the imbalance) then price should move...

Definitely obnoxious. The question implies that someone has a fish, and these things are not always worded unambigously. All I know is if I wanted sushi I would try the German's house first. BTW - it is unique. To prove set up the grid with all possibilities in each cell, iterate through...

The german in the 4th house has the fish.

It's actually a theoretical paper that proves if HFT traders do "X" and some other assumptions are met then "Y" will be the result. There's nothing wrong with this kind of theoretical analysis but it doesn't prove this really happens outside their model. They don't show that their...

But people will think you're cool if you send bloomberg messages. And call them bloombergs.

I have seen several studies like this one that crunch the numbers and don't find that commercials (or speculators) predict returns. Of course that doesn't mean they are not missing anything though. But I don't remember seeing anything like this specifically on bond futures...

For sector data you can get ETF returns from Yahoo. Or look here for returns to custom sector indexes: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html scroll down the page to industry portfolios

Here's a place you might find some trigger idead. You could look at an extreme value of any of these data series as a trigger. http://research.stlouisfed.org/fred2/

The short answers - these studies don't usually take taxes into account, there is some disagreement over whether they survive transaction costs, and vanilla momentum returns are very volatile. Sjfan is right, a lot of the implementation stuff is not very public and focuses on things like...

I am also wondering what your issue with this stuff is. You seem to be anti-EMH but research challenging EMH pisses you off? This is actually a big hurdle for the die-hard efficiency advocates. To make their case they have to either show that this doesn't really exist at any important level...

I think beyond the risk pricing you also have to consider that the lenders fixed costs are built into the interest rate on each loan. With payday loans the loan size is small and term is short, so a moderate dollar amount turns into a large %. I agree that it sucks to be in a position to...

I have been riding ~12 yrs (with very little air time ) and no real injuries. Had a close call with a tree last weekend though - whipped around in time to hit it backwards and escape with just a hamstring bruise. One thing to be careful of when learning is you can have some nasty falls until...

I have the first one (don't use it anymore but used to a lot) but since buying it have tried something like the second in a gym and like it better.

yes

This is a tougher question. Some purists would consider most of this stuff data mining. I think you can learn all the stats rules you want, but in the end you need to combine test results with your beliefs about how the world works to analyze a system. Personally I am not crazy about the idea...

Cool! But if you want to be formal about it, this does not get you all the way to independent observations. For example, if two trades are entered on day A, one exits on day B, and the other exits on day B+1, the overlap in holding periods makes them artificially correlated. The usual way to...

Thanks. Do you use/reccomend this? Merging can be painful.