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Markets on route to recovery And the Food crisis is just a myth And the Gas is at the right price And the Unemployment rate (Real One) is Low And the Banks are not losing a penny And the Bonds are as good as they were 10 years ago And US dollar is shining And .... Well, where do you...

How do hedge funds hide order execution? Very, very carefully! :cool:

Not to point the obvious or anything, but in my post I said “bear Put Spread”. If the long put strike is 1300 then the short strike can only be lower otherwise it would be not a bear spread. Secondary, 1300 for the long strike and lower short strike clearly indicates that both options are...

Listen, the amazing thing about a talent or a truly creative and intelligent person is that after he/she verbalized, summarized and formalized a breakthrough everyone realizes how simple and obvious the idea is. Everybody is a genius on the hindsight!

Pa(b)st Prime for PRESIDENT!!!!!! I love it! I support your point of view 100% When people don't know anything they always call the "racist" card. I don't find anything racist in your posts! Don't be upset, ET is full of smocks!

Good time to buy ES June puts IMO. I would do the bear Put Spread at around 1300 (long strike).

Yes, unfortunately. You are probably mixing two things here: statistical probability and the level of anticipation. I am not disputing at all the fact that a trader could time the entry/exits better than their relative probabilities. I simply state the fact that from the statistical point of...

asap is absolutely correct there. The probability of hitting equidistant levels (providing those levels are not too huge) for S&P 500 is roughly 51/49 with the slight upward BIAS. It means that 8:1 payoff ratio is about 12% probable.

I have just read it again. Did you have a microphone of some sort secretly installed in my office? :D Gees man, brilliant!

Extremely well written article! It resonates with my own thoughts very well! Congratulations! I will be reading now your articles! Sign me up! Cheers

Excellent Post! I would love to hear more from other Quants on ET! QUANTS UNITE!!!!

Please use the search button located in the top-right corner of the ET web page. Use words "automated trading" or automation, or any other combination of key words. You will find plenty of advice and suggestions. Welcome to ET. Cheers MAESTRO

http://en.wikipedia.org/wiki/Stability_(probability)

I am not sure what you mean. I was talking about the skew in the Stable Distribution pattern that has more probability to produce outliers than a Gaussian distribution.

SECOND THAT! Thank you for your contributions!

Yes it is. The spread between the Base and its Derivative is always the safest, but in the same time you are only making the interest rate on your cash over the time that is left in your future contract. If you want to make more than that you need to use other forms of SA such as Options...

Our average holding period varies. It could be as short as a few hours and as long as 2 months. The average, I would say, is 20 days.

Statistical Arbitrage (SA) is based on finding Stable Distributions and capitalizing on them. Placing bets on Fat Tails, for example, is one of the methods of SA. It is quit opposite to the mean reversion, wouldn’t you say? On another hand, mean reversion is one of the patterns that one might...

I have two Ph.D.: one in Power Electronics (1979) and the other one in Artificial Intelligence and Cybernetics (1985). I also have a master's degree in Mathematical Psychology (1984).

Freaking Idiots!