Search results

well, actually i'm looking at european venues, where markets are mainly centralised. most of the volume is taking place on the main market. So, what i'm interested in is single stock/single market and no rebate scheme. you wrote that you usually gross negative and net positive from rebates...

well, that's a big surprise to me. does it mean the behaviour on a short time scale (let's say less than 30 sec) is only governed by the stock itself, and therefore the rest of the market has a little or no impact on the short term behaviour. So, would you say that orderbook data of a single...

ok, thanks for the reply regarding predictiv models, do they rely essentially on order book data ? Or more on a universe of instruments ? i mean for example you study one stock's performance vs index constituents/futures... PCA like. and then how stable are those relationship, is there any...

Hi hft, thanks for keeping this thread alive, it's very interesting. i have a question, Does one has to work on a predictiv model and then figure out if backtests are good, Or, Do you work on the equity curve, i mean you run a "naive" strategy and then you try optimise this curve trying to...