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- TheQuant replied Oct 27, 2015
Agreed but remember that these are more or less providing a function opposed to purely speculative play. They spreads they make are essentially the service charge.
- TheQuant replied Oct 26, 2015
without going too deep into the math, i have a parameter model that adjusts accordingly. Depending on the data frequency the costs can be high or negigible. I have worked with some persistence models that have helped monitor conitegration strength ...
- TheQuant replied Oct 26, 2015
I think the Sharpe ratio takes care of this fairly well. In fact, it can imply what level of leverage to apply to a strategy via the Kelly criterion.
- TheQuant replied Oct 26, 2015
My argument is not that the strategies won't fade - they certainly will. Fama's piranhnas. I'm saying that statistical analysis is not a strategy and my assumptions moving forward were contingent on an exploitation being present. That is, if there ...
- TheQuant replied Oct 26, 2015
Hi! Thank you for the response - some great stuff in those two links. Definitely something I need to consider when putting on a spread. The second Engle-Granger like method is interesting - I'll have to play with the numbers a bit. If you trade ...
- TheQuant replied Oct 25, 2015
Saw a paper published at Massey University titled, "Technical Analysis Around the World: Does it Ever Add Value?" It is available via a google search for the interested reader.
- TheQuant replied Oct 25, 2015
Statistical Analysis can never be wrong. It is what it is. Simply a method to measure data. The interpretation, the strategies, and the way they are executed can be wrong. Again, pointing out that certain strategies like say a pairs trade stops ...
- TheQuant replied Oct 25, 2015
Hi, All great questions. Firstly, I am a fan of the (weak) efficient market hypothesis. As far as fundamental analysis, I think that it is a necessary part of any strategy. I don't try to predict price with it; however, it is certainly a good ...
- TheQuant replied Oct 24, 2015
Yes you are correct - I was speaking in general terms. That is, if you were to find either a signal which behaved like an AR(n) process (up to statistical confidence) or if you were to find two instruments such that L(Y,n) (call that the n-th ...
- TheQuant replied Oct 24, 2015
zacorbul: statistical arbitrage does not seek a market direction. in the options world, selling premium is also a good example. luckily, volatility is certainly mean reverting (statistically and should make sense logically). good current example is ...
- TheQuant replied Oct 23, 2015
I'm new here and I think I come from a different viewpoint from many here. I have been fortunate to have access to IB level financial data across many exchanges. While I will note that price is subject to microstructure anomalies, all evidence I ...
- TheQuant replied Oct 23, 2015
Hi. New to forexfactory. Been trading the GBP/JPY-GBP/USD spread. At the current volatility levels I'm looking to short the spread (short GBP/JPY long GBP/USD). We're seeing reasonable levels of co-integration on the the daily. Anyone else doing ...
- TheQuant replied Oct 23, 2015
Hi. I'm somewhat new to trading forex spot but have traded other markets for quite a long time. I decided to add forex to my strategy is largely a matter of number of occurrences. What kept me away for so long was less the market and more a matter ...
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