<t>QuoteOriginally posted by: farmerTell me if this is what you are saying. If a stock goes up 1% with only 10 consecutive ticks at the offer, then a news search will almost surely show some news for that ticker symbol, or some general market-moving news. But if the same stock goes up 1% after ticki...

<t>QuoteOriginally posted by: MCarreiraHi msperlin,It is an interesting paper. I would include VALE3, PETR4, USIM3 also to see whether the results are the same for different classes of stocks issued by the same company.The following step would be to group companies by sector (I would add BRAP4 to VA...

<t>Dear Wilmoters,I'm writing a paper on the topic of assessing the likelihood of having news in the financial market based solely on trade data. Here's the abstract:Abstract: In this paper we look into the problem of identifying the strength of the incoming of news in the financial market. With the...

<t>QuoteOriginally posted by: vzomtrHello - I have been using Markov Regime Switching GARCH models (only 2 regimes - high and low vol regimes), and during daily runs over a period of time, I noticed that I cannot control which regime should high or low. For example, I'd like to ensure that regime 1 ...

<r>QuoteOriginally posted by: phubabaI too am unable to download the paper.Have an account at ssrn... no download options.found it here:<URL url="http://mpra.ub.uni-muenchen.de/23381/1/MPRA_paper_23381.pdfFell"><LINK_TEXT text="http://mpra.ub.uni-muenchen.de/23381/1/ ... 81.pdfFell">http://mpra.ub.u...

<t>QuoteOriginally posted by: buckeyeI am trying to implement an Autoregressive Conditional Duration model. According to a paper by Noble Laureate Robert Engle and Joe Lange, the ACD model is given as:EPTIME (t) = omega + alpha1 * PTIME(t-1) + beta1 * EPTIME(t-1) - (A), andEPTIME (t) = omega + alpha...

<r>QuoteOriginally posted by: HendonHi guys,I am writing my thesis using Microsoft Word 2007 and I am using the Equation Editor for adding my thesis formulas and equations. There is a letter-like symbol called "Double struck Capital E" which I cannot find in the Letter-like symbols of the Equation e...

<t>QuoteOriginally posted by: crootActually, why would it be more silly than any SDE model?I imagine the following:is the forecast at time t of stock price at time T.Here, EEG is the measured electroencephalogram of the psychic trader (PhD from top university required, showing exceptional promise in...

<t>QuoteOriginally posted by: trackstarVerily I say unto you that it would be easier for a camel to pass through the eye of a needle, than for a quant to become a psychic investor.But, on the other side of the argument, can you really say that assuming that stock prices follows a GBM is any differen...

QuoteOriginally posted by: ErrrbI quickly looked at the paper (will try to read over weekend), it looks pretty good paper! Very different from typical academic research on the subject.Thanks errrb. I'll wait for the feedback.

<t>QuoteI have read your paper quite quickly, it's a big oneDespite the fact I am not a quant I found it very interesting. For the good point, I found it very clear, well written and mathematically simple (it changes from paper with stochastic volatility or paper with laplace transform for high path...

QuoteOriginally posted by: frenchXI'll read the paper today,It seems interesting, I will post my comments tonight or tomorrow.Thanks frenchX. Apreciate the feedback.

<t>Guys, this is the last paper of my phd thesis (download it here).I would be happy to have some feedback on it. Really apreciate it..The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond MarketAbstract:The focus of this paper is on the study of the drivers ...

<r>QuoteOriginally posted by: mizhaelAnybody knows some good Matlab utilities for processing gigantic tick data set?I like the vectorized operations in Matlab and speed shouldn't be an issue;but the Matlab memory limitation is a problem...Any thoughts?I've been working with 20gb+ data in matlab for ...

<t>QuoteOriginally posted by: AnthisI am not sure if spillover is the right term in your case. Typically has been used for effects of one market to another, eg from NYSE to TSE or LSE. I doubt its the roper term to use for comovements on bonds of the same yield curve, you may also confuse it with th...