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Is there really fundamental data on opentick? I can't find it.

It depends on your budget. Compustat and Bloomberg are probably the best but are ridiculously expensive. ValueLine has some products that are good and cheaper but still not cheap.

Look in the data library section on Ken French's website. The risk free rate is included in some of the factor files, back to 1926. He uses the 1-month t-bill. http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/f-f_factors.html

I've had some issues with this. First there are certain order types that by default won't execute outside normal trading hours. There is a window where you can change this. Second, sometimes when I place overnight orders for t-note options on ecbot I get a popup message that the order...

I am not going to sit here and listen to you badmouth the united states of america

Check out this paper on the subject. These guys find positive average overnight returns of around 5 bps for the es ( about 3/4 of an es point), and that most of the return to stocks has come overnight in the last decade. Probably to small to trade on as a standalone strategy but interesting.

I agree here. When I think of value investing I think of a portfolio of 100 or more stocks that are cheap by some measure of value, not taking a gamble on individual stocks (unless you are Buffet and can get them to take your phone calls). The ones that go under are more than offset by the...

But he is obviously not an MBA or else he would have put it into powerpoint.

... and I built a Vasicek model in my MBA program. Definitely not the stuff most MBAs do but at some schools it is an option. I also did some "quant lite" work in fixed income for a few years - risk and strategy stuff. Probably the most common profile of my coworkers was MBA or MS finance...

I briefly worked as an analyst for a group that supported an MBS sales desk at a small broker dealer - but they shut down the operation a couple of days after I got hired. I thought the sales jobs seemed cool but not exactly low stress. My impression was that they made 200k-1M but with wide...

This is a good idea but the wrong instrument unless your mortgage is 3 million dollars. Depending on your mortgage size and terms you might be able do something with treasury futures but it would be complicated. You will have to do some math, take some basis risk, and accept a crude hedge...

Here's the attachment to go with my last post

Sorry I can't figure out how to get the attachment up. I'll try again later.

Here is a paper from a prof at NYU on this topic. He finds most of the price discovery in the index comes from ES. It's kind of technical stuff but I think he is showing that when the ES leads the price change, it is less likely to reverse than when the pit or the etf leads. It is kind of...