I see, they probably were using the same method as you.But to me, it doesn't really make sense to say it costs 0.2 to sell 2. Because I can sell 2 at 3.5, I agree. But I have only 1 offer at 3.6, not 2 so why can you say 2*(3.6-3.5) ??

<t>Hi,My question may seem trivial but I can't understand how it could be possible that the cost of buying is not equal the cost of selling in the order book. Someone told me it could be different but I don't get it.Imagine you have this limit order book:BID | ASK------------------------------Qty Pr...

<t>QuoteOriginally posted by: RufusHow about Algorithmic Trading and DMA, Barry JohnsonSelf published, so lacks a bit of polish but content seems good.Previews available on the website: algo-dma.comDo you know where I can get this book in the UK? Looks like I only can get it from the US but it would...

<t>QuoteOriginally posted by: mjwe sold our 4000th copy today!Maybe was it me I regret so much I didn't buy your book before doing all the interviews. I kept failing always because of brainteasers/algorithms (but always did very well at technical/financial questions). And actually almost all the bra...

Hello,Just wondering, I remember when I registered on this forum, I had the option to give my address so I can receive receive a sample Wilmott's magazine. What is it exactly? Is it free? Because I can't remember if I was asked to pay anything.

<t>QuoteOriginally posted by: katastrofaFirst thing which should be done is forcing the banks to disclose their exposure to Greece. It would clear up the atmosphere, and no banks would be made any worse off if they all had to do it together.@VegaPlus"It can give an first picture but I think after th...

Essec is a better school for trading than HEC. The latter is more famous but less in trading than Essec, more in corpo finance (M&A, PE...).Do you already have an offer from a trading company or you want to study and then apply?

Exactly and this is one of the most famous basic HFT strategy. You submit some limit orders, get rebates then you can trade more aggressively to hit all the orders. You narrow the spread but should make profits from the rebates.

It can give an first picture but I think after the first EU plan to help Greece, their exposures are much higher now. Now we understand why France and Germany are so worried about the situation

<t>That's HFT : making a lot of transactions with small gains each. There are many different way to do this, for example using the asymmetric pricing between different markets. Some markets charge you more when you take liquidity and less when you provide liquidity. And usually, "transaction cost" i...

So you're looking for a model for the smile dynamics? Google it and you'll have some papers on this subject. I never studied that in depth so can't tell you which one is the "best" (don't think there's any).

In Western maybe... In Asia, it has just started so more to do there.

<t>First, when USD is used as reserve currency, it means that other central banks are trying to lower their domestic currency. For example this is what is being done with Japan. Buying more USD means selling JPY so lowering JPY against USD to encourage exportation against importation. Now to be hone...

<t>People who don't know shit about advanced math get a better sharpe ratio than PhDs in physics. Strong quant background is good for your CV if you want to get into a BB but you can be a very good quant trader withtout strong math. I saw how some algo trading desks in major IB work: they don't use ...

<r>Thanks guys for your answers. About the alpha stable distribution, I read a short paper about this applied to commodity markets. It looks interesting: <URL url="http://polymer.bu.edu/hes/articles/mags02.pdfIt">http://polymer.bu.edu/hes/articles/mags02.pdfIt</URL> can also use Levy flights: <URL u...