Search found 63 matches

by stamo
Thu Feb 28, 2008 8:35 am
Forum: Futures Markets
Topic: Treacherous Wheat
Replies: 3
Views: 3291

Treacherous Wheat

MF Global Announces $141.5 Million Bad Debt Provision Company Remains Well-Capitalized with No Impact to Client Funds NEW YORK--(BUSINESS WIRE)--MF Global (NYSE: MF), a leading broker of exchange-traded futures and options, announced that during the early hours of Wednesday morning, February 27, a r...
by stamo
Thu Sep 06, 2007 10:33 am
Forum: Money Management
Topic: 'uptick rule' end may require wider stops on long US eqt sys
Replies: 0
Views: 3766

'uptick rule' end may require wider stops on long US eqt sys

On July 6th, 2007 the SEC did away with the 'uptick rule'. The WSJ's Heard on the Street column covered this on 8/14/07: "The old rule generally prohibited the shorting of a stock while its price was falling, or experiencing a "downtick" in trader slang. The rule was instituted after the 1929 market...
by stamo
Wed May 23, 2007 8:13 am
Forum: Testing and Simulation
Topic: CSI -UA and market correlation
Replies: 1
Views: 2327


the short answer: match your lookback to cover a few cycles of your time horizon and then periodically update your correlations. in equity quant work, the 'standard' has been 60 months of monthly data, probably first popularized by BARRA. if your holding period is days to weeks then 1-2 years of dai...