Buy historical raw exchange data. If you're looking at microstructure, anything else is crap.

<t>Volatility arbitrage is by its nature profiting from mis-priced volatility. The delta hedging makes absolutely no contribution to the edge, its sole purpose is to hedge the exposure to the underlying. A volatility arbitrageur has no view on the direction of the underlying. Therefore delta hedging...

<t>The whole idea of stop losses is intellectually incoherent. You have models (be they quantitative like stat arb or qualitative like fundamental value investing). Those models give you estimates of edge and risk. As long as you have edge Kelly says you should have a commensurate position relative ...

<r>Take your rolling windows (say 50 business days), sort each day by the magnitude of returns smallest magnitude to largest. Calculate the Gini coefficient for this ordering. The closer the value is to 1, the more of the volatility was concentrated in a few days. The closer to zero the more the vol...

<t>Sharpes of 40-60, after transaction costs and after funding costs are quite abundant in HFT space. Unlevered per annum regularly exceed 100%. Some strategies make money from client flow (e.g. GETCO), but most have no client flow. Some of these strategies are market making, but many are much more ...

Lookup literature on the Epp's effect.

<t>QuoteHow many academically peer-reviewed papers are there demonstrating that thalidomide causes birth defects? If more than zero, consider the ratio of such papers to those discussing "the ability of thalidomide to relive morning sickness". Then consider the delay between something happening and ...

<t>Zerohedge, Nanex, et al. are a bunch of insufferable morons who exhibit the same level of understanding of HFT as George Lucas does of the laws of physics. Only the former pretends that their laughable and child like attempts are actually rooted in reality.There is no academically peer-reviewed p...

<t>Well my interaction with Global Alpha has only been tangental, so take what I say with a grain of salt. But...Global Alpha's stat arb models were very macro-ish focused. A lot of their alpha traditionally came from country allocation in addition to security selection. Even on the security selecti...

<t>So you're saying it doesn't make sense that Global Alpha is losing money, but other quant funds (which is a huge category covering tons of different strategies) are making money?Highbridge Capital Long/Short Equities is down 11% YTD and Citadel Global Equities Fund is up 14% YTD. Would you say th...

<t>Have you considered the possibility that this guy is blowing smoke up your ass?First of all the strategies and signals RenTech uses are way more sophisticated than momentum/mean reversion. I'm sure if you run look at small sub-periods a given strategy might look very similar to mean-reversion/mom...

HFT is as widespread and sophisticated in futures markets as equities markets, if not more so.

<t>QuoteCould you please run a test for your hypothesis?And the correlation is statistically above 0 or below 0?And how does this help trading?1) Well, what I did was break down the correlation of USO to UNG from May 2007 to today by day of the week. If my hypothesis is correct then the day of the E...

<t>Well, WTI is in contango and Brent is in backwardation. So one would assume that if the two converge the WTI market would become less contango and the Brent market less backwardated. And vice versa if the spread continues to diverge. So a decent hedge on options on the WTI/Brent spread might be o...

<t>Well I don't think anyone has a silver bullet for when/where trend-following vs mean-reverting works. At least if they did they should be sipping margaritas on a yacht in the Riviera. Here though is how I think about it. Auto-correlation whether positive or negative is a function of two things. T...