<t>Hello,I've been trading a stat arb strategy on highly liquid US equities, and I'd like to expand the strategy to less liquid names (<500k shares per day). The paper trading of these names has been strong, but I'm wondering how a larger trade will impact the price of the stock and what other risks...

Hi,Thanks for the responses. What I'm trying to do is recreate the following R code in C#:var <- lm(x ~ y + 0)The "+0" in the command forces a zero intercept. My current code will return the same results as if I excluded the "+ 0", but I can't figure out the rest.Thanks.

<t>Hello,I'm working with the following C# code to calculate the linear regression for a time series, and I can't figure out how to do it without an intercept. If anyone has any suggestions I would appreciate it a ton.Thankspublic Regression(double[] dblList1, double[] dblList2) { double xAvg = 0; d...

Thanks, FrenchX. I've seen the Fuzzy Momentum article before and have been checking out ANFIS. Pretty cool stuff.

Hello,Can anyone suggest some articles on high-frequency (say 30 seconds to 2 min) trading strategies based on momentum? I've been trading mean-reversion and found a wealth of articles the subject, but I'm coming up short when it comes to momentum strategies. Thanks!

Can anyone provide suggestions or references on how to build a basket of stocks using ADF? Say you have three stocks, (A, B, C). Would you average the ADF of A:B, B:C, A:C to get an overall number?

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<t>Sorry to repost, but I didn't get any replies in the Numerical Methods sectionI've been working on a short-term mean revision strategy (approx 5 min) for a pair of US equities, and I'm wondering if ADF is used to trade pairs on an intra-day basis. I've calculated the ADF statistic to be -3.471 ba...

<t>Hello,I've been working on a short-term mean revision strategy (approx 5 min) for a pair of US equities, and I'm wondering if ADF is used to trade pairs on an intra-day basis. I've calculated the ADF statistic to be -3.471 based on daily closing prices of the previous 12 months, but I'm not sure ...

<r>Hello,Can anyone suggest a good resource for information about the inner workings of high-frequency stat arb for equities? I'm sure these are closely guarded secrets, but I'm hoping to learn more about passive vs. active strategies. There is some limited info in this presentation from Tradeworx (...