Hi, Just wondering if anyone can offer their inside view on algo trading within banks for fx? I dont (didnt) really work for a house that had a strong electronic platform in anything. I feel like electronification for equities is pretty much done and things are just getting faster and faster with mo...

Any traders here monitor the risk on their exotic/hybrid books using 3d graphs? Managed to implement some pretty cool graphing tools using java, now just need some cross risks/gamma to monitor. Any particular ones that cause traders headaches?

Could you clarify what you mean by slippage? I'm quite interested in his question

<t>That's kind of a wierd questionPairs trading is ultimately a market neutral strategy in which you bet on the spreadPortfolio Optimization is a minimum variance maximum expected return concept. Ultimately you are going to have market risk exposure unless:1)You're actively managing it and constantl...

<t>Nice to see some responses on this, even though its ages ago@ Stew Thats kind of the view i have at the moment. I think most strategies tend to just fall into the category of mean reverting or momentum, even the higher frequency ones which just scalp the bid-ask most of the time really sort of fa...

really? No one? bumbp

<t>What kind of algo trades work for forex? For equities, things like pair trades work cause you end up just factoring out the market risk, but that doesn't really work with FX because if you pair trade a currency pair you just get another currency pair, and their is no reason why that should be a m...

<t>Thanks for your help blade, and i appreciate your thoughtfulness, but you're just making me as confused as ever. I still don't really understand what the whole log thing is about. I mean i get that the normal procedure is to just look at log prices, but telling me not to worry about this doesn't ...

I see this is an old post but i'm actually having the exact same issue at the moment. Did you eventually get past it?

I see this is an old post but i'm actually having the exact same issue at the moment. Did you eventually get past it?

I see this is an old post but i'm actually having the exact same issue at the moment. Did you eventually get past it?

p.s. it'd be very helpful if anyone knows which paper first showed that stocks tend to be I(1). I'm hoping to have some sort of example that shows how we can test for unit roots in the price series of stocks, it'll make the concepts much more easier to understand

<t>Thanks for the help guys!I'm trying to get a better understanding of how the cointegration is actually calculated though. R gives the answer but i'm a bit confused on the actual process.I get the basic understanding of how cointegration works. First you need to check if the two time series of I(1...

<t>I know for the augmented fuller test, we use the formula Z_t= alpha + phi*Z_t-1 + rho1(Delta Z_t-1) + rho2(Delta Z_t-2) ... rho(p-1) (Delta Z_t-(p-1)) + a_tfor an AR(P) model(rho probably isn't the correct symbol but my knowledge of the greeks isn't very good, but the formula should be familiar)H...