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by adannenberg
February 4th, 2004, 9:10 pm
Forum: Technical Forum
Topic: Market impact model: Perold
Replies: 2
Views: 189558

Market impact model: Perold

Courtesy of Anthis...
by adannenberg
February 3rd, 2004, 8:40 pm
Forum: Technical Forum
Topic: Inference Challenge
Replies: 342
Views: 218317

Inference Challenge

So de-mean the histograms. That way we can infer (!) nothing about the right answer to your challenge and still learn something interesting about the sample errors...
by adannenberg
February 3rd, 2004, 6:34 pm
Forum: General Forum
Topic: Stock trading volumes - inter or intra asset class?
Replies: 43
Views: 192414

Stock trading volumes - inter or intra asset class?

Is that the "zen" at the end of your username talking?
by adannenberg
February 3rd, 2004, 6:23 pm
Forum: General Forum
Topic: Stock trading volumes - inter or intra asset class?
Replies: 43
Views: 192414

Stock trading volumes - inter or intra asset class?

<t>How can the bid and offer be stale in the cash market, Mob? Apart from backing away and late reporting, what's posted is good for the displayed size... I just saw your SPY post, so now I have a better idea what you're talking about... As an example, I think you're saying that in a market downdraf...
by adannenberg
February 3rd, 2004, 6:09 pm
Forum: General Forum
Topic: Stock trading volumes - inter or intra asset class?
Replies: 43
Views: 192414

Stock trading volumes - inter or intra asset class?

You can still always see the cash market and place your order at a level T_xy s.t. P_bid(X)/P_offer(Y) < T_xy < P_offer(X)/P_bid(Y).
by adannenberg
February 3rd, 2004, 5:57 pm
Forum: General Forum
Topic: Stock trading volumes - inter or intra asset class?
Replies: 43
Views: 192414

Stock trading volumes - inter or intra asset class?

React to what? I don't see why the order book would need to be visible...
by adannenberg
February 3rd, 2004, 5:49 pm
Forum: General Forum
Topic: Stock trading volumes - inter or intra asset class?
Replies: 43
Views: 192414

Stock trading volumes - inter or intra asset class?

<t>I think the fear of pick-off trades is most easily averted by imposing a filter that guarantees that all rotation fills are close to the cash market. For example,an "X into Y" rotation order can get filled at time t and level T_xy only if P_x(t)/P_y(t) * (1 - eps) < T_xy < P_x(t)/P_y(t) *(1+eps) ...
by adannenberg
February 2nd, 2004, 9:57 pm
Forum: Technical Forum
Topic: Inference Challenge
Replies: 342
Views: 218317

Inference Challenge

"Histogram ... like this? "No. Read the thread...
by adannenberg
February 2nd, 2004, 6:22 pm
Forum: Technical Forum
Topic: Inference Challenge
Replies: 342
Views: 218317

Inference Challenge

Reza, I may be wrong but I think NT is renewing the cry for a look at the sampling distribns.... I, at least, am still waiting to see some histograms
by adannenberg
February 2nd, 2004, 4:17 pm
Forum: General Forum
Topic: Stock trading volumes - inter or intra asset class?
Replies: 43
Views: 192414

Stock trading volumes - inter or intra asset class?

Ok, Mob, I guess you won't be a participant...
by adannenberg
February 2nd, 2004, 3:46 pm
Forum: General Forum
Topic: Stock trading volumes - inter or intra asset class?
Replies: 43
Views: 192414

Stock trading volumes - inter or intra asset class?

<t>"If these are identical, you only need to put in two simultaneous limit orders, crossed by .00001"They're not identical."They'll pay the spread to each other." Not if A gets done on 1 leg of his trade before B gets done on 1 leg of his trade. And what if the rotation orders that could get filled ...
by adannenberg
February 2nd, 2004, 3:14 pm
Forum: General Forum
Topic: Stock trading volumes - inter or intra asset class?
Replies: 43
Views: 192414

Stock trading volumes - inter or intra asset class?

<t>"I don't see why they have to be rotating, as compared to selling and buying outright, to want to avoid paying a bid-ask. Did I miss your point?"Maybe. Let's take a egregious example: Let's say that for perverse reasons I want to replace my long CMCSK position with CMCSA. I do so by selling CMCSK...
by adannenberg
February 2nd, 2004, 2:50 pm
Forum: General Forum
Topic: Stock trading volumes - inter or intra asset class?
Replies: 43
Views: 192414

Stock trading volumes - inter or intra asset class?

<t>Ok, let's keep banging the idea around..."In your scheme, you limit rotation orders to two stocks."Yes. I chose pairs because it's easy to express any dollar-neutral basket as a linear combination of dollar-neutral pairs. So if you have a big, complicated market-neutral basket you could try to do...
by adannenberg
February 2nd, 2004, 11:50 am
Forum: Technical Forum
Topic: overfitted technical trading rule
Replies: 6
Views: 189844

overfitted technical trading rule

Trade it...
by adannenberg
February 2nd, 2004, 11:50 am
Forum: Technical Forum
Topic: overfitted technical trading rule
Replies: 6
Views: 189844

overfitted technical trading rule

Trade it...
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