30 ms·
> There are a million ways to trade orders that are statistically mispriced before the market actually moves, Can you talk more about this?
by foobarqux 11y ago
> There are a million ways to trade orders that are statistically mispriced before the market actually moves,
Can you talk more about this?
- mrchicity 11y agoToo close to secret sauce territory, but if you can predict the market is more likely to tick up than tick down or vice versa, then buying or selling at mid-market is +EV. Here are some publicly-available examples that are too well-known to work anymore, basically various features of the order book: http://www.orie.cornell.edu/engineering2/customcf/iws_events_calendar/files/shorttermsignaldevusage-sotiropoulos.pdf http://www.orie.cornell.edu/engineering2/customcf/iws_events...