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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...
- 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
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...
- 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...