Classic paper here is Avellaneda & Lee (2008)

Does anyone have a copy of the "Quality Investment" working paper by Asness, Frazzini, and Pedersen?

Do VIX futures reflect the market's expectations of future VIX value?

So if the answer is to replicate the basket derivatives dynamically and then trade constituent derivatives, is there a paper or reference I can look at to understand how to trade the options to go long/short correlation?Thanks very much for your help on this

<t>Apologies if this is a noob question, but is it possible to construct a trade that is long correlation between two instruments, where there is no traded basket that contains those two instruments? If so, can someone point me to a good reference that describes the mathematics of constructing/prici...

On-the-run bonds are exchange traded on BrokerTec and eSpeed

I was more thinking about once I had a strat, and making sure the code is correct. As in, "oops, I meant to buy here but I sold here"

For those of you who write strategies as opposed to infrastructure or pure pricing code, how much (if any) do you unit test?

I've read that when constructing bond pricing models, you should always model yields. That is, you should generally not model bond prices explicitly. Is this correct? Why is it better to model yields rather than prices?

Thanks, we use JFreeChart internally but I'll definitely check out jchart2d

Desktop app definitely - browser is way too high-latency

<t>Can anyone recommend charting software that will allow me to easily display both price and custom indicators in real-time? Ideally I'd like to give it a Java class, or even just a text file to read from, and have it plot my indicators along with a regular price/volume chart. I'm really looking fo...

<t>There are tons of indicators out there that try to use price, volume, and time in different combinations to try to give some kind of prediction for where price is going to be. Is anyone aware of a list of indicators that use microstructure information? I'm thinking things like quantity at depth, ...

<t>QuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: quantmehQuoteOriginally posted by: Traden4AlphaEDIT: I've pondered this a bit more and can't find a flaw. (Doesn't mean there isn't one).i'll trash your flawless algo on weekend. i promise Thank you! (And I do mean that because it'...

QuoteOriginally posted by: HansiIs q constant? Could you store binned averages for specific ranges?Unfortunately, no, q is not constant.quantmeh, how would it help to store min/max for each data point from time 0? I need to ask between [q,now], not [0,q]