Search found 3 matches

by Mike S
Tue Sep 13, 2011 9:19 pm
Forum: Testing and Simulation
Topic: Trend Following and Financial Maths (Brownian motion, etc.)
Replies: 14
Views: 5588

Andrew Lo

Andrew Lo - MIT finance professor - has done some work on replication of LTTF returns.

His work on hedge funds is great all around and useful to study if you're a quant finance guy interested in making money instead of models.
by Mike S
Thu Aug 25, 2011 8:01 am
Forum: Testing and Simulation
Topic: Anyone using MatLab, Octave, SciPy, the Language R
Replies: 22
Views: 12872

Did you all make your own R Code?

I haven't really started looking at it. I have TradingBlox - a new user - but at some point will probably move over to R when I get the chance. Writing code from scratch isn't hard, but it does take time. Plus, I am not a great coder, so I'd make logic errors that would take a while to discover. Did...
by Mike S
Wed Aug 24, 2011 2:12 pm
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 17706

Haven't checked Micros at the CME

But shouldn't the prices be extremely similar? The MM's for these products are usually quite good. The contracts need to converge to the same price at expiry. Too large of a daily divergence and they will get picked off by other MM's The differences in price will mainly impact the fills, not the ove...