More on TradingMarkets.com’s RSI(2) Strategy [Market Sci]

Posted on March 19, 2014 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=5ZR6PWO3YR

Downloading Historical Intraday US Equities From DTN IQFeed with Python – QuantStart

Posted on March 14, 2014 by drbtk-admin

http://www.quantstart.com/articles/Downloading-Historical-Intraday-US-Equities-From-DTN-IQFeed-with-Python

Self-Study Plan for Becoming a Quantitative Trader – Part II [System Trader Success]

Posted on March 4, 2014 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=FTWCEMOK5T

An After-Hours Arbitrage Opportunity: $50k to $760k in 12 years? [Turnkey Analyst]

Posted on February 21, 2014 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=OIINTDDJVZ

A million ways to connect R and Excel [R Trader]

Posted on February 12, 2014 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=S8TGOZX7MC

Using Python, IBPy and the Interactive Brokers API to Automate Trades – QuantStart

Posted on February 6, 2014 by drbtk-admin

http://www.quantstart.com/articles/Using-Python-IBPy-and-the-Interactive-Brokers-API-to-Automate-Trades

A better time to hedge using VXX [Evolution Trading]

Posted on February 5, 2014 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=5AHQ8FBBEU

A simple strategy between A-shares and H-shares [Math Finance.cn]

Posted on February 3, 2014 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=RW22Y0QGBW

Getting real-time stock data from Google [Leinenbock]

Posted on January 31, 2014 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=UHV2BHSQQ7

Historical Intraday Stock Price Data with Python

Posted on January 31, 2014 by drbtk-admin

http://nighttimecuriosities.blogspot.fr/2012/08/historical-intraday-stock-price-data.html

AN INTRA-WEEK EFFICIENCY ANALYSIS OF BOOKIE-QUOTED NFL BETTING LINES IN NYC – ResearchGate

Posted on January 28, 2014 by drbtk-admin

http://www.researchgate.net/publication/228545450_AN_INTRA-WEEK_EFFICIENCY_ANALYSIS_OF_BOOKIE-QUOTED_NFL_BETTING_LINES_IN_NYC

Computerized_and_High-Frequency_Trading.pdf

Posted on January 27, 2014 by drbtk-admin

http://www.brattle.com/system/news/pdfs/000/000/603/original/Computerized_and_High-Frequency_Trading.pdf?1390328382

Feature selection in trading algorithms [Math Trading]

Posted on January 17, 2014 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=B7YEF3TEEW

The Probability of Back-Test Overfitting by David H. Bailey, Jonathan M. Borwein, Marcos Lopez de Prado, Qiji Jim Zhu :: SSRN

Posted on January 16, 2014 by drbtk-admin

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253

[1401.2860] Complex temporal structure of activity in on-line electronic auctions

Posted on January 16, 2014 by drbtk-admin

http://arxiv.org/abs/1401.2860

Testing A Euro Currency Futures Scalping Strategy, Part 2 [System Trader Success]

Posted on January 15, 2014 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=Z8KZ5VN52T

Quantitative Trading: Variance Risk Premium for Return Forecasting

Posted on January 10, 2014 by drbtk-admin

http://epchan.blogspot.com/2014/01/variance-risk-premium-for-return.html?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+QuantitativeTrading+%28Quantitative+Trading%29

The Life Cycle of a Volatility Trade: Find a Prospective Trade, Measure & Forecast Volatility, and Execute & Hedge the Options ($AAPL)

Posted on January 8, 2014 by drbtk-admin

http://www.capitalexchangeblog.com/the-life-cycle-of-a-volatility-trade-appl/

How to Beat the Market with the Implied Volatility Term Structure: The HeroRATs Strategy by Dr. Chrilly Donninger :: SSRN

Posted on January 6, 2014 by drbtk-admin

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2369239

Reverse Engineering DynamicHedge’s

Posted on January 6, 2014 by drbtk-admin

http://qusma.com/2014/01/03/reverse-engineering-dynamichedges-alpha-curves-13/?utm_source=rss&utm_medium=rss&utm_campaign=reverse-engineering-dynamichedges-alpha-curves-13

[1307.4643] Predicting financial markets with Google Trends and not so random keywords

Posted on December 27, 2013 by drbtk-admin

http://arxiv.org/abs/1307.4643

6 ways to download free intraday and tick data for the U.S. stock market

Posted on December 20, 2013 by drbtk-admin

http://www.quantshare.com/sa-426-6-ways-to-download-free-intraday-and-tick-data-for-the-us-stock-market

A Traders Guide to Buying the Dips (Part II) [Jay On The Markets]

Posted on December 19, 2013 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=MY1MY4ZH7D

Momentum Strategies: From Novel Estimation Techniques to Financial Applications by Tung-Lam Dao :: SSRN

Posted on December 16, 2013 by drbtk-admin

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2358988

The QUSMA Data Management System Is Now Open Source [Qusma]

Posted on December 13, 2013 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=6HCNTZEL5O

Asymmetrica: Short-Term Momentum : MatLab Algorithmic Trading and Back-Testing GUI

Posted on December 2, 2013 by drbtk-admin

http://asymmetrica-research.blogspot.com.br/2012/08/short-term-momentum-matlab-algorithm.html

OSS

Posted on December 2, 2013 by drbtk-admin

http://www.orangecap.net

Creating a Data Management System : QUSMA

Posted on November 22, 2013 by drbtk-admin

http://qusma.com/2013/11/21/creating-data-management-system/?utm_source=rss&utm_medium=rss&utm_campaign=creating-data-management-system

Resources for Quantitative Trading [Math Trading]

Posted on November 21, 2013 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=XMLFLUT63Q

Big Data in Finance Massive Online Open Course | QuantNet Community

Posted on November 20, 2013 by drbtk-admin

https://www.quantnet.com/bigdata/

Ideal Stock Trading Model for the Purpose of Backtesting Only [Quant at Risk]

Posted on November 18, 2013 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=0DYH3GL3AP

Quantitative Trading

Posted on November 15, 2013 by drbtk-admin

http://epchan.blogspot.com

Estimating from Historical Data [Flirting with Models]

Posted on November 15, 2013 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=L97T0X54AK

Haim Bodek’s Blog

Posted on November 11, 2013 by drbtk-admin

http://haimbodek.com/blog/

Sub-Penny and Queue-Jumping by Sabrina Buti, Francesco Consonni, Barbara Rindi, Ingrid M. Werner :: SSRN

Posted on November 11, 2013 by drbtk-admin

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2350424

The Significance of Trading Frequency and Stop Loss in Trend Following Strategies by Farzine Hachemian, Sébastien Tavernier, Anne-Sophie Van Royen :: SSRN

Posted on November 11, 2013 by drbtk-admin

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2349848

Investment Strategies with VIX and VSTOXX Futures by Silvia Stanescu, Radu Tunaru :: SSRN

Posted on November 11, 2013 by drbtk-admin

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2351427

ThinkNum | Financial data | models

Posted on November 10, 2013 by drbtk-admin

http://thinknum.com

High-frequency Trader Pushes Systems To The Edge [System Trader Success]

Posted on November 1, 2013 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=GYJNCD93V0

[1310.8169] Predicting trend reversals using market instantaneous state

Posted on November 1, 2013 by drbtk-admin

http://arxiv.org/abs/1310.8169

The VIX, the Variance Premium and Stock Market Volatility by Geert Bekaert, Marie Hoerova :: SSRN

Posted on October 28, 2013 by drbtk-admin

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2342200

Quantitative Trading: How Useful is Order Flow and VPIN?

Posted on October 25, 2013 by drbtk-admin

http://epchan.blogspot.com/2013/10/how-useful-is-order-flow-and-vpin.html?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+QuantitativeTrading+%28Quantitative+Trading%29

All Correlations Tend to One… – Keplerian Finance

Posted on October 23, 2013 by drbtk-admin

http://keplerianfinance.com/2013/06/all-correlations-go-to-one/

Basics of Statistical Mean Reversion Testing – QuantStart

Posted on October 22, 2013 by drbtk-admin

http://www.quantstart.com/articles/Basics-of-Statistical-Mean-Reversion-Testing

[1310.3984] Measuring correlations between non-stationary series with DCCA coefficient

Posted on October 18, 2013 by drbtk-admin

http://arxiv.org/abs/1310.3984

Inverse ETFs on VIX: are they suitable for buy-and-hold investing? [Volatility Fighter]

Posted on October 15, 2013 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=B0UDX2GYQ6

How to go long on the VIX index – Six Figure Investing

Posted on October 9, 2013 by drbtk-admin

http://sixfigureinvesting.com/2010/01/how-to-go-long-on-the-vix-index-2/?utm_source=SFI&utm_medium=sidebar&utm_content=LongVIX

Twitter Handles for All Bloggers in the Quant Mashup | The Whole Street

Posted on October 9, 2013 by drbtk-admin

http://www.thewholestreet.com/twitter-handles-for-all-bloggers-in-the-quant-mashup/

VelocityShares Daily Inverse VIX Medium Term ETN (ZIV): Why We Invest In ZIV And Not In XIV – Seeking Alpha

Posted on October 8, 2013 by drbtk-admin

http://seekingalpha.com/article/1725252-why-we-invest-in-ziv-and-not-in-xiv?source=yahoo

Top Ten Stock Market Books of all time [Paststat]

Posted on October 7, 2013 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=8L4DL2FEWD

Financial Data Accessible from R [The R Trader]

Posted on October 5, 2013 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=H26A8TC8S6

Buy Low Sell High: A High Frequency Trading Perspective by Álvaro Cartea, Sebastian Jaimungal, Jason Ricci :: SSRN

Posted on October 2, 2013 by drbtk-admin

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1964781

Optimizing Pairs Trading of US Equities in a High Frequency Settin

Posted on October 1, 2013 by drbtk-admin

http://repository.upenn.edu/cgi/viewcontent.cgi?article=1095&context=wharton_research_scholars

Scientific Approaches to Building Trading Strategies, Part 1 of 4 | The Alpha Interface

Posted on September 30, 2013 by drbtk-admin

http://www.alphainterface.com/2013/09/28/scientific-approaches-to-building-trading-strategies-part-1-of-4-3/

Is momentum coming of age? [Systematic Relative Strength]

Posted on September 28, 2013 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=83FQG6O5JR

Is High Frequency Trading’s Zero Sum Game Reaching Its End?

Posted on September 26, 2013 by drbtk-admin

http://www.valuewalk.com/2013/09/high-frequency-tradings-zero-sum/

Disentangling Volatility & Risk [Flirting with Models]

Posted on September 25, 2013 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=96IFSM6FX6

What’s Wrong with ATR Stops? [System Trader Success]

Posted on September 24, 2013 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=SWMBTQSDNH

Master reading list for Quants, MFE (Financial Engineering) students | QuantNet Community

Posted on September 23, 2013 by drbtk-admin

https://www.quantnet.com/threads/master-reading-list-for-quants-mfe-financial-engineering-students.535/?ModPagespeed=noscript

The Probability of Back-Test Over-Fitting by David H. Bailey, Jonathan M. Borwein, Marcos Lopez de Prado, Qiji Jim Zhu :: SSRN

Posted on September 22, 2013 by drbtk-admin

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253

Smart Beta and the Pendulum of Mispricing

Posted on September 21, 2013 by drbtk-admin

http://www.researchaffiliates.com/Our%20Ideas/Insights/Fundamentals/Pages/S_2013_09_Smart-Beta-and-the-Pendulum-of-Mispricing.aspx

From Regime Switching to Fuzzy Logic -SP500 [Sanz Prophet]

Posted on September 20, 2013 by drbtk-admin

http://www.thewholestreet.com/cgi-bin/redirect.cgi?key=6AMRSV08VE

Long term profitable back-testing: No guarantee of future profitability | Mechanical Forex

Posted on September 20, 2013 by drbtk-admin

http://mechanicalforex.com/2013/09/long-term-profitable-back-testing-no-guarantee-of-future-profitability.html

FRAMA – Is It Effective? | System Trader Success

Posted on September 20, 2013 by drbtk-admin

http://systemtradersuccess.com/frama-is-it-effective/

Useful and Free C#/.NET Libraries for Traders : QUSMA

Posted on September 20, 2013 by drbtk-admin

• Useful and Free C#/.NET Libraries for Traders : QUSMA

Posted from Diigo. The rest of my favorite links are here.

New trading platform coming soon

Posted on September 18, 2013 by drbtk-admin

Check for new updates coming soon