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In a very simplistic way - YES. In practice, you need to convert your space (normalize it) to be able to do the efficient RTM.

Although reversion to the mean is probably one of the most fundamental and stable observations of the stock market behaviour no known reliable trading algorithms exploiting this phenomenon were developed to date. Our breakthrough in this respect, we believe, is the first successful practical...

The concept of regression comes from genetics and was popularized by Sir Francis Galton in the late 19th century with the publication of “Regression Towards Mediocrity in Hereditary Stature”. Galton observed that extreme characteristics (e.g., height) in parents were not fully passed on to...

Please explain exactly what you are interested in. I will try my best to share the knowledge. However, I apologize ahead of time; I will only be able to share non-sensitive info that my company allows me to share. Cheers, MAESTRO

I am sorry, you probably meant prices are random and they are normally (bell shape curve) distributed? Because the way you wrote it there is no possible answer to it. However, if you accept my rephrasing of your question the answer is: Q: Is the price-time series a very efficient stochastic...

I wouldn't say we "mastered" it, however, there has been a significant progress in this direction.

Well, could you please explain to all of us when does exactly water freeze and why? You would be the first one to do so. Did yo know that the theory of the matter state changes has been evolving probably more rapidly than any other branches of physics? Also, My point was that regardless of...

Pretty good, actually. Thank you for asking. I also have collected what I consider an "overwhelming evidence" of market randomness and have managed to create the space converters that could normalize any market to fairly stable distributed stochastic processes. it's going really well! I am more...

Thank you for your warm words. It has been a battle! I am much better these days and happy to be back. Thank you for remembering me! I will do my best to encourage people to think and educate themselves. I will also cautiously share what ever I can. Thank you again! Cheers, MAESTRO

And how do you know that the Big Bang had really happened? This theory only represents our current state of beliefs. 200 years ago people would get burnt at stake for these words. What do you think will happen in 200 years from now? Would the "cause" of all existence be different? Knowledge is a...

Sometimes I wish I could show openly some pretty dramatic results that we unearthed in the past 6 - 7 years. But this damned, cut-throat industry makes it impossible. Sometimes I wish I was in biology or some other non-money related science where I could publish the results and invite all of my...

Good point. I am in the dark in many domains. The more you know the more you realize how much you still do not understand. It serves as a good motivation for me.

Gravity, Time, DNA, Atoms, your mood swings, dreams, beliefs, desires and millions of other things that have no cause, no reason and no explanation. We have learned to live with all of those things without demanding the answer to the question "WHY?" Have it ever occur to you that any logic...

It is so refreshing to know that majority of people out there are still clueless! I thought that within past 3 - 4 years some of you here could have learned a bit about the subject since so much of the new research results became readily available. I was even worried about possible competition...

All of our trades are 100% on the book and we never take the liquidity away; we do not hit the bid and we never take an offer. The true HFT is not about faking the trade; it is all about identifying the opportunity sooner than anyone else and acting upon it one tick ahead of everybody. i don't...

Oh, one of those whines again!"Let's go back to horses; cars pollute air and leave less room for pedestrians!" Nobody can stop the progress! Stop whining and adapt! Or die if you cannot adapt. I do HFT and I don't give a flying f....k about whether it is convenient for you or not! Cheers...

Best joke I saw in a while! Too funny! :D

Strange times indeed! Justin Bieber’s Hair Sells for $40,668 on eBay! Per ounce of weight it's by far the most precious commodity now!

Oh, yeah? How about a very Canadian Pamela Anderson, or Shania Twain?

Very true!