Posts Tagged ‘ trading ’

I see high frequency data

March 1, 2012
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I see high frequency data

In the previous post I shared an example how to get high frequency data from IB broker (well, it is retail version of HFD – it has only best bid/ask and the trades). Now, once you saved some data – what should you do next? Next logical step would be data sanity check and visualization.

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Trading volume forecast for an illiquid stock

August 8, 2011
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Trading volume forecast for an illiquid stock

When dealing with transaction cost analysis, a stock’s volume is assumed to be stable or foreseeable.  However, there is different picture, then we are dealing with an illiquid stock. It is relatively easy to forecast the volume of a liquid stock, because trading volume has high autocorrelation – the volumes at t and t+1 are correlated. For

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How big block trades affect stock market prices?

July 27, 2011
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How big block trades affect stock market prices?

I will be giving a presentation on “Optimal transaction cost” in Vilnius on  16  August. While preparing the presentation and looking for an optimal execution solution, a natural question arises: does the size of the trade affect stock market price? I’m sure, you would say 100 % yes. Well, you would be right, but what is

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timezone issue in R

May 14, 2011
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While investigating Intraday patterns in FX returns and order flow paper I have faced the problem with timezone. I had 3 data sources with different timezones (GMT, CET, CEST). Most confusing thing was, that I didn’t know, how to deal with summer time. But why did I have the data with summer time in the first place?

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Transaction cost analysis and pre-trade analysis

April 20, 2011
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Transaction cost analysis and pre-trade analysis

Transaction cost analysis (TCA) is the framework to achieve best execution in trading context. TCA can be split into three groups: pre-trade analysis, intraday analysis, and post-trade measurement. Pre-trade analysis allows us to get insight about the future volatility of the price, forecast intra-day and daily volumes, market impact. It evaluates all strategies and advises

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Tick data retrieval

January 31, 2011
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I just published Java based code to pull tick data from Interactive Brokers. There are thousands tools to get tick data from IB, but I had one feature in mind. You can get maximum 50 quotes per second from Interactive Brokers (its IB limitation for TWS API) . Imagine a situation, when there is a

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Interesting volatility measurement, part 2

January 21, 2011
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Interesting volatility measurement, part 2

A few weeks ago I have mentioned about an interesting volatility prediction. It is based on two periods of historical volatility (standard deviation). The remaining question was – does it really works? I could not give the answer, because I didn’t have VIX futures data at that time. Later on, I was contacted by Brian

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Poor man’s pairs trading…

April 11, 2010
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Poor man’s pairs trading…

There is a central notion in Time Series Econometrics, cointegration. Loosely it refers to finding the long run equilibrium of two non-stationary series. As the most know non-stationary series examples comes from finance, cointegration is nowadays a tool for traders (not a common one though!). They use it as the theory behind pairs trading (aka

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