Mar
08
Technical Papers on Trading
By Lawrence Chan
on 2012 Mar 8 Thu 0:27:19 
Interesting articles related to trading.
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on 2012 Mar 8 Thu 0:27:19 Interesting articles related to trading.
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Stock Price Pattern Recognition Using Neural Net
http://www.cse.ust.hk/~leichen/courses/comp630p/collection/reference-4-5.pdf
Institutional Algo Predictability
http://blog.themistrading.com/institutional-algo-predictability/
http://johnhcochrane.blogspot.com/2012/02/weird-stuff-in-high-frequency-markets.html
1st link coming from spooz
what do you make of the fact that es is lagging both nq and ym?
Not a good place to discuss that, how about starting a new thread on that?
Bots don’t know any better.
One of my favorites here, weather and the stock market,
http://www.rotman.utoronto.ca/~wei/research/JBF_2005_temp_stock.pdf
Daytrading time map, volume 2 has some good insights.
thanks. =)
This is a good read of the option manipulations in various markets.
http://www.zerohedge.com/news/archives-bunker-hunt-and-silver-thursday
One of the early academic papers that questions EMH,
The predictive power of price patterns
http://www.pitt.edu/~caginalp/Paper65.pdf
Microstructure of Currency Markets from Martin Evans, Georgetown University
http://www9.georgetown.edu/faculty/evansm1/wpapers_files/encyclopedia_wp.pdf
It is an excerpt from a book,
http://www.zerohedge.com/news/dark-pool-truth-about-what-really-goes-stock-market
I have mentioned this again and again that MM bots are there to mess with the orderflow and that you cannot see them on the book.
Many funds that are naive enough not to read the specs of the exchange feeds thought they know how to game the system with their HFTs … think again.
Retail traders and smaller hedgies have to recognize this and learn to fight back with slower methods that exploit the patterns emerged from these bots.
You can never be faster than the players with best access, equipments, and inside information.
Old paper from Federal Reserve on economic indicators and their usefulness as predictive tools,
http://www.newyorkfed.org/research/staff_reports/research_papers/9609.pdf
Application of MACD and RVI indicators as functions of investment strategy optimization on the financial market,
http://www.efri.uniri.hr/dokumenti/andjelic-2009-1.pdf
optimization for the sake of publishing paper …
GP-evolved Technical Trading Rules Can Outperform Buy and Hold
http://www0.cs.ucl.ac.uk/staff/w.yan/gp-evolved-technical-trading.pdf
Here are some references on Calendar Effects … papers by academia, it looks like, as I could make no sense of them all.
http://www.frbatlanta.org/filelegacydocs/wp0502.pdf
A paper by Atlanta Fed from 2005
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1593770
From SSRN
http://calendar-effects.behaviouralfinance.net/
with a ton of references for the research-minded.