because lead/lag relationship within an index are straight forward.by the way, i'm not sure that there is still meat in 1 and 2 ... unless you're a (very) big player.

most of the time, lead/lag effect can be caused by weights/capitalizations, the biggest caps are naturally selected by index/ETF issuers.if you can find evidences of lead/lag effect (granger causality test???), then it's still a speed game : already crowded ...

http://www.icebergfinder.com/

well ... i guess you meant : how to detect liquidity within the spread?try to ping and see what happen ...you can check last prices and if you detect massive volumes done at the bid/offer ...

waste of time

try to hedge against derivatives ...

it is quite trivial to say that you can't.most of the time, on the exchange side assets are managed by several engines/servers/locations. so even if you're the first to send orders on a specific set of assets, fills will be totally asynchronous.

http://papers.ssrn.com/sol3/papers.cfm? ... _id=315619

it's not what i'm observing ...

<t>Lehalle,thanks for the biblio. Very interesting, but again i'm afraid that it's very academic and not enough pratical/realistic ...Bouchaud is very descriptive (out of 2 french stocks...) interesting results, just descriptive ... Avallenada/Stoikov is considering markets governed by securities de...

ok,i tried to google on liquidity models, few papers relating interesting observations (price formation, comovement ...). i'm certainly wrong ... But i don't see where is the benefit from papers trying to modelize markets ???If you have links that can help me , feel free !

by limit orders, you mean trying to grab the flow, or catch the trend. then that is more or less gamblilng on a small period,right ?

<t>Thanks for your feedback Tu,1. my target is the study of electronic exchanges (order book). What do you mean by a market liquidity model ? what kind of model is it ?2. following the tracking does not looks to me the big deal. But studies/backtests based on components market depth seems to be a ni...

<t>Hi there,i'm currently performing a study on intraday cointegration (baskets vs future), the obtained tracking error looks stationnary, dickey fuller/perron tests performed which confirmed the stationnarity. But now i'm facing a new problem, the observed bid/ask spread of the stat baskets are too...