arthurdent

9 ms·

31.
by arthurdent 16y ago
i typically recommend Magic Formula Investing to people who don't want to spend a ton of time looking into/maintaining stock portfolios but want a reasonable chance at outperformance. http://en.wikipedia.org/wiki/Magic_Formula_Investing A
32.
by arthurdent 16y ago
1. open financial tick data -- opentick used to have some, but that's gone as far as i can tell. also, one of the biggest problems with financial data is cleaning it. with an open dataset, people might be encouraged to clean the open data
33.
by arthurdent 16y ago
depends who your target market is, but the predictions angle is a bit sketchy. as far as i can tell, even the paid predictions are just a stock and a forecast, but there's nothing to let the eventual user know whether they are good or bad p
34.
by arthurdent 16y ago
this is really not entirely correct. when things started melting down in 2008, it was largely attributed to the fact that hedge funds basically all had the same strategies in their book. When one started liquidating, many started losing va
35.
by arthurdent 16y ago
oh, and btw. sproutrobot is awesome.
36.
by arthurdent 16y ago
define: mispriced = "value != market price" Where you and i diverge is "Value is relative in one case and absolute in the other." I think you're saying that HF Guy's definition of value is relative and Value Guy's definition of value is a
37.
by arthurdent 16y ago
Isn't "finding undervalued companies" fundamentally an infrequent activity I guess I don't understand why this is necessarily true. ACN supposedly might have traded $.01 on the day of the flash crash (busted). It rallied back after the
38.
by arthurdent 16y ago
flash orders is actually the main thing i was referring to when i said "There are flavors of HFT that aren't easily defensible " a whole lot of HFT has nothing to do with seeing the orders before they happen. "high frequency trading" enco
39.
Tell HN: Stocks are not a zero sum game and high frequency trading is great
13 points by arthurdent 16y ago|10 comments
40.
by arthurdent 16y ago
I find myself excited over the preliminary results of my increasingly sophisticated simulations This. The vast majority of the money being made in the market is being made by people with what you may consider a laughable lack of "sophist
41.
by arthurdent 16y ago
my colleague reads math entries in wikipedia at least 4 hours a day. obscure optimization and nonlinear fitting methods. it blows my mind. in the last 6 months he has learned a TON of material and I am very envious of the knowledge he's g
42.
by arthurdent 16y ago
great idea. that's exactly what you should do if you're insisting on an intelligent investor style value portfolio, and thats what Buffet does. But the real point is that trading isn't a chump game and the entire notion of "long term holdin
43.
by arthurdent 16y ago
this sounds like the most surefire way to achieve your goals. seconded.
44.
by arthurdent 16y ago
Its a fairly well documented phenomenon that option volatility increases going into earnings then immediately deflates after the fact. An at the money "straddle option" is essentially purely a volatility play, but the problem is that once t
45.
by arthurdent 16y ago
Derivatives are mathematically zero sum minus costs. That's why. For traders in aggregate, they are a certain loss. 1. Fair enough. HSO makes the point that this is true for all financial transactions. So by your logic, investing in the
46.
by arthurdent 16y ago
I'm going to invite a flurry of disagreement here, but I'm just going to say it. Investing is not the answer, trading is. II and SA are phenomenal books, but they are also more relevant to a different time in market history. The basic ten
47.
by arthurdent 16y ago
How did you find work at an investment bank without being sufficiently savvy to realize? Is this deliberately intended to be disparaging? 1. There are plenty of people at investment banks whose principal function isn't to understand optio
48.
by arthurdent 16y ago
Seems there have been a lot of posts on HN in the last week or so about algorithmic trading. There doesn't seem to be a shortage of interest in this field either, but the threads quickly get lost in the HN jumble. Does anyone want to volun
49.
by arthurdent 16y ago
Interactive Brokers has paper trading and good docs http://www.interactivebrokers.com/en/p.php?f=tws&p=p http://www.interactivebrokers.com/en/p.php?f=programInterfac... http://www.maxdama.com/ talks about the IB api a bit. I skimm
50.
by arthurdent 16y ago
email me, i'd be happy to provide some insight.
51.
by arthurdent 16y ago
In my experience, between 4-7GB compressed per day for top level regional data in US equity markets.
52.
by arthurdent 16y ago
I have also pulled 1 second bars for currency from IB. they throttle your query rate though, so it can take some time to get your data.
53.
by arthurdent 16y ago
IB will give you up to 1 second resolution (open, high, low, close) for most US equity names. getting bid ask tick data is harder/more expensive to come by.
54.
by arthurdent 16y ago
More on IB: so you basically just have to fund an account with whatever their minimum is now (might be 10k now). then to get most US stock/options/futures data, it only costs 10 bucks a month for their live feed. If you make trades, your co
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by arthurdent 16y ago
Forgot to mention: algodeal.com Never tried it myself and can't vouch for them, but it seems to be an interesting concept and might let a lot of hackers get their feet wet without any monetary investment.
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by arthurdent 16y ago
I was previously a professional trader. For quantitative mid frequency trading on a retail size account that doesn't require ultralow latency: Many pros use IB personally and their java API is quite good. You'll be disappointed to know tha
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by arthurdent 16y ago
just read this recently found it ok: http://www.puppetmastertrading.com/blog/2010/04/08/pairs-por... ernie chan's blog is also a decent starting point: epchan.blogspot.com
58.
by arthurdent 16y ago
friend of mine went to china on vacation and after a dinner with some acquaintances was asked by someone he met there to serve as an expert on an alternative energy panel at a conference. he's the sort of person who find that amusing, so wi
59.
Rent a White Guy(theatlantic.com)
275 points by arthurdent 16y ago|69 comments
60.
by arthurdent 16y ago
depending on the strategy, its possible to build reasonable simulations of the affect your trades will have on the market, though the data you need to do so is harder to get and a lot more expensive. but for a strategy like the one describ

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