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I'm a little younger but our big fears growing up were getting nuked, getting aids from mosquitos, needing to learn japanese to get a job, and (my favorite) the killer bees. I still worry about the bees sometimes, maybe they are still coming and just late.

Hi Mike, I don't think this is what you meant to do. Taking the square root of the square is just taking the absolute value. If you want to take the square root of the sum to reduce the impact of outliers I think that would make sense, but there is no point in doing this before you sum...

Sounds interesting but the link doesn't work, can you repost or just give the title and authors?

True, but I would prefer using different time of day indicator variables to account for normal time of day vol and volume patterns. And then use the adjusted vol variable to identify how far away from normal we are. If the midday vol does not drop as expected (but the raw measure stays the...

If you are doing intraday vol calculations you need to be aware of the normal behavior of what you are trading and correct for it somehow. I think the ratio you posted would just go down at lunch time and up at the end of the day most of the time.

Hi Garch, The spread is whatever your model says is mean reverting and stationary that you want to trade. I think the "best" spreads are price ratios because if you are trading a price ratio, you can put equal dollars into each side and it is self-rebalancing and roughly market neutral. You...

I am not sure I agree with you, it depends what you mean by influencing the report. I think the analyst probing investors in the market for information is good, and it is definitely legal. Investors sharing factual information that was not improperly obtained is good - it gets the facts out to...

Definitely not uniquely. Easy example, 5 flips as in the orginal problem, n=5. You only care about the case where you get 5 heads, all others lose and don't affect the answer. Then any strategy where the 5 bets total $100 is a solution. I guess I just answered my own question from the last...

I can't stay away! Sjfan, I started thinking about this for a minute and I think this is unclear. I don't think you mean this literally or the game is not well defined, if n=4 and you get 3 heads and 2 tails you haven't won or lost. But assuming you mean there can be an arbitrary number of...

Me three, same answer. I got it but I'm sure the interviewers would have gone home for the night by then. Sjfan, you are an ahole, I hope the sharks miss the playoffs! Just kidding but I won't be openying anymore of your posts that look like this anytime soon, I spent way too much time on...

And here are the short close results, it looks like they add value too. I'm not sure how to think about a trading rule where the entry doesn't seem to do anything but the exit seems give you an edge? Sorry for the string of posts, I can only upload on file at a time.

I ran the event study on the closes too, here are the results for the long side. It looks like the exit signal adds some value, but waiting 2 more days would get another 55 bps or so. Day 0 is the day the close is given. I wouldn't pay too much attention to the negative returns on day -3...

And for the shorts. The returns are all measured from the long side, so a positive return on the shorts means you are losing money.

Here are the event study results for the long side. They open nicely in wordpad.

Cool thread! I am not surprised this system seems to work, but I am surprised it works so well on blue chips, I think a lot of stuff like this works on small illiquid stocks but not msft. So my first concern with this system would be what is your market exposure? We are just looking at it...

I did a very crude analysis on something related with daily data from the EIA website since 2000. I didn't look at the details on when they roll or a lot of other stuff because I am not trying to trade this, just control for calendar effects in the data while I look at something else. But...

I worked in risk management for a while and most of the analysts (including me) were constantly trying to get trading jobs. A few did, but in general we were in kind of a wierd position - overqualified for the junior jobs and not attractive for most senior jobs without trading experience. Also...

I worked someplace that used it a while back. Once I got familiar with it, I have been able to use it for pretty much everything I have needed to do. The only thing I can imagine doing in the near future that it can't handle is automated trading. My understanding is most of the retail...

There are techniques that people use to correct this issue. Basically you take the view that the past performance and correlations have some info about the return structure mixed with a bunch of noise, and the problem is that basic MPT optimization on raw historical data overfits the noise. So...

I do, I use it a lot. My quick review is that it is powerful but not very intutive at first.