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Oh, ok, so did you just cut and paste from R to excel? It looked as if you did everything in excel (sans plot), but said you did it in R, so I thought you'd used RExcel.

There is some truth here. I've known people that were hired solely to train foreign workers with America's intellectual property and our skill-sets, then as soon as they downloaded the info, they were laid off and replaced by the very workers they trained at much lower salaries. Reminds me of...

Interesting, thank you for sharing. Seems to me with the SECs vast powers to observe trading activity, they should easily be able to spot sub-penny front running on an automated scale, no?

Good luck with that. By that argument, you should also be able to capture satellite signals on your property for free. Although the theory sounds right, you'll never see that legalized. In that case, you would never interfere with the signals off property, as you are only capturing local...

http://news.bbc.co.uk/2/hi/europe/8446545.stm Here's a good way to solve local tax problems. Too bad you'll never see it in the US.

Hi Did you use RExcel to do that? How have you found it? I thought about trying it but heard it really slows down VBA. Not sure it's worth the effort. Any observations? It might be worth integrating if performance doesn't suffer. If it does, however, may be just better to run the tools...

Tons of research looking for possible clues. Found one which said there was one of those long $$*FeJKJg$$ffzFJ file names in a chome folder. I don't even use chrome, so it was deleted, and poof, the problem never appeared again. Just like that. Don't recall exactly, but think it was...

It's quite possible that is a trojan. I had a nasty one once that was not caught by any conventional tools. Would auto shutdown in middle of night for no reason. It resided in a chrome folder. Deleted it and it was gone.

Once again, I think there is a problem laying the blame on them. This is exactly what those who enact the laws for their benefit want; shifting of misguided anger towards those who least deserve it. The best jobs should go to the best qualified-- period. The problem I have is not about...

Not to sound like a typical whiner, but fact is the problem with engineers is that they are too smart and 'honest' to a fault. Just think about the pinto fiasco or Ford tires; engineers complain, and get backhanded by management to keep producing garbage, because at the end of the day...

One thought is that the system tends to have majority of trades during hig vol regimes (as expected). So you might consider this type of system during periods when VIX exceeds certain threshold and maintains positive momentum. 2nd thought is that I'm not sure how it is implemented, but taking...

This is a very crude system that is based on the idea I mentioned. It is daily data, and only holds 1 day and exits. You can add to generate exit on std = 0. The idea is to give someone an idea on how something like this is built in excel. P.S. It is obviously not a holy grail at the...

As a thought experiment, have you simply tried to standardize the data over some period (maybe 4-5 yrs)? Then observe the optimal threshold to short? I.e. if filter is >= 3 - 4 std short (or reverse prevailing direction) and cover when filter -> 0 std. First thought is you would have few...

Just in case anyone is not familiar with volatility clustering (Heteroscedasticity) signatures, here is a graph showing signed cl-cl 1min returns on left, and squared returns on right. It should be fairly obvious that they do not have identical signatures. One is random gaussian generated...

If you can utilize time in your equations, simply take that time period and remove it, or if you can't remove it, maybe substitute the prior sum or add the average of previous 12 periods so as not to have too much of an impact.

I suppose if your focus is to only analyze intraday activity (with a specific window in mind), it might make sense to remove the gaps and thus any type of bias your concerned about. Ultimately, it really depends on what the end game is. Once you've identified more specifically what you are...

A less filtered approach might be to simply attach a plot of the sequential real time returns (non integrated). I would suspect the regions of clustering would coincide with the peaks in your filtered signal. That's about as pure as you can get; the only more detailed granularity would be to...

A simple visual way to approach 1, is square each sequential return, integrate it, and observe the plot. Volatility clustering is very noticeable. Or simple observe uniformity/non-uniformity of non-integrated changes. One quantifiable method is ACF of abs or squared returns. There have also...

you should be able to find a general commodity index and simply run the correlation to the interest rate series you are describing. Compare that result to the correlation between spx and vix over the same period. I'd guess it's not as strong, but you should take the time to quantify that...

Most of their formulas use close to whatever standard parameters may prevail. It is likely that your software uses the same parameters. A simple way to verify is visually observe if the one you calculate is identical-- any discrepancies will likely show up quickly. There is no technically...