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It sounds like it! This is good news

Thanks alot, Obama

I have a big steamy pile of crap my dog took a minute ago too, I'll sell it for $199.99

The community largely seems to be on my side, on this issue. Bye!

It makes no difference to me, I just have to call snake oil when I see it.

If it works, than why are you moving on? Why does it matter ....penny stock.. or future.... the profits are just as fungible. If Sykes is good at anything, its marketing and being a douche.

It also depends on the style of trading you're doing. If you are day trading, fill modelling becomes important. Just assuming you're going to get filled when a trade occurs at your ASK/BID isn't good enough. I assume that most of the backtesting for the masses apps just assume fills.

"Does it work" ? If it worked... he wouldn't be selling something that costs 74.95 a month for $25 /month...

They beat Bloomberg and other outlets because some of the organizations have policies where reports have to be verified before they are reported

That doesn't make what he said untrue. ZeroHedge is pure crap.

If you know where to get REAL colo for $300, please share! I'm in somewhat agreement with @i960 . If you're trying to win purely on speed, forget about it. That is a game that is all about expensive infrastructure that is unattainable for just about all of us. I think you can still be...

To me, it just looks like they exist to prevent someone from placing a massive order outside the normal trading ranges and shocking/spoofing the market. They seem to be pretty wide to have much of an implication for anyone "day trading".

How can people take zero hedge seriously?

As far as sampling rate (dt) is concerned, your state transition matrix is usually derived from a continuous time model , often with a Taylor series derivative approximation. So your model is a function of the sampling rate, and thus the prediction step of the Kalman Filter algorithm is robust...

I haven't used for finance at all, only engineering, although I do know some trader are using them. The specific behavior of the filter will depend on how you model the market, but generally speaking, you should get a covariance "spike" that will correlate with a rise in volatility (price...

A kalman filter is an "optimal" estimator (I.e the mean and covariance combo produces the maximal likelihood/probability density) under the assumption of linearity and white gaussian measurement noise. It's like a adaptive bandwidth moving average that also gives you covariance estimates

Why not just use a kalman filter?

Could you please explain how using statisticaly significant statistics is a form of curve fitting? I'm not talking about mining a data set and fitting a curve to maximize profits. I'm talking about only taking on trades which have E[] > 0

Isn't looking for the entries with a higher expected profit a form of optimization ?

He's well educated, and visionary.... What else is there?