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Technical Papers on Trading
May 17, 2014
2:11 pm
Lawrence
31

Do Day Traders Rationally Learn About Their Ability?
by Brad M. Barber, Yi-Tsung Lee, Yu-Jane Liu, Terrance Odean
http://www.usc.edu/schools/bus…..Npaper.pdf

May 17, 2014
2:12 pm
Lawrence

Fear and Greed in Financial Markets: A Clinical Study of Day-Traders
Andrew W. Lo, Dmitry V. Repin, and Brett N. Steenbarger
http://citeseerx.ist.psu.edu/v…..8;type=pdf

Jun 12, 2014
6:11 pm
Lawrence
33

A New Hybrid Model for Intraday Spot Foreign Exchange Trading Accounting for Heavy Tails and Volatility Clustering
by Anna Serbinenko and Svetlozar T. Rachev
http://statistik.econ.kit.edu/….._model.pdf

Jun 12, 2014
10:01 pm
MidKnight
34

If they wrote those models in English it would be a LOT more helpful and educational :D

Jun 16, 2014
3:48 pm
Lawrence
35

MidKnight said

If they wrote those models in English it would be a LOT more helpful and educational http://www.daytradingbias.com/wp-includes/images/smilies/icon_biggrin.gif

Even if someone try to explain what they are trying to do in the paper (i.e. like the one above), it will still be math equations and code fragments. Cool

Aug 24, 2014
9:50 pm
MidKnight
36

Intraday momentum
http://papers.ssrn.com/sol3/pa…..id=2440866

Abstract
In this paper, using intraday data from January 4, 1999 to December 31, 2012, we document an intraday momentum pattern that the first half-hour return on the market predicts the last half-hour return on the market. The predictability is both statistically and economically significant, and is stronger on more volatile days, recession days and some macroeconomic news release days. We interpret the trading behavior of daytraders and informed traders
as the economic driving forces behind the intraday momentum.

Aug 26, 2014
9:34 am
Lawrence
37

MidKnight said

Intraday momentum
http://papers.ssrn.com/sol3/pa…..id=2440866

Abstract
In this paper, using intraday data from January 4, 1999 to December 31, 2012, we document an intraday momentum pattern that the first half-hour return on the market predicts the last half-hour return on the market. The predictability is both statistically and economically significant, and is stronger on more volatile days, recession days and some macroeconomic news release days. We interpret the trading behavior of daytraders and informed traders
as the economic driving forces behind the intraday momentum.

Validation of my use of 30-min open range. XD

Dec 4, 2014
9:34 am
Lawrence
38

Flow Toxicity and Liquidity in a High Frequency World
David Easley, Marcos M. Lopez de Prado, Maureen O’Hara
http://www.stern.nyu.edu/cons/…..035928.pdf

Feb 16, 2015
10:45 am
Lawrence
39

How to Game Your Sharpe Ratio
Richard Spurgin, Clark University 2001
The Journal of Alternative Investments Winter 2001
* the official version is now only available from IIJ at $99 if you are purchasing individual article

I have a printed copy on hand, not sure if it is okay to scan it and host it here (my guess is not).
If you can find it from the library, do that instead.

Anyone can find an online version please post the link.

This paper is pretty much the cornerstone for all the MBAs and Quant-minded individuals who have no ability to beat the markets but good at scheming people. Not so coincidentally, several years after the paper was published, all kinds of cover-up scheme leading to blow up of financial firms that are exposed, were using one form or another the strategy explained in this paper to make these firms' trading returns look great before they bite the dust.

In short, several special form of derivatives are employed to smooth out the performance and boost sharpe ratio significantly. This makes the fund looks good on paper but in reality the smoothed out sharpe ratio has just hidden the real inherited risk that the fund is taking. When sh#t hit the fan, the fund is still wiped out as quickly as it should be.

p.s. another discovery from my weekend clean up

Feb 20, 2015
11:53 am
Minty415

Does the Tail Wag the Dog? How Options Affect Stock Price Dynamics
December 13, 2014
David C. Yang [Harvard University] and Fan Zhang [PrepScholar Education]

http://scholar.harvard.edu/files/dcyang/files/dcyang_jmp_web_0.pdf

Apr 8, 2015
9:21 am
Lawrence
41

Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights
by Jonathan Donier and Jean-Philippe Bouchaud
http://papers.ssrn.com/sol3/pa…..id=2583743

Jun 17, 2015
9:16 pm
MidKnight
42

(Why) Does Order Flow Forecast Exchange Rates
by Della Corte et al
http://www.cafr-sif.com/2011/p…..0Rates.pdf

Aug 28, 2015
2:20 pm
Lawrence
43

Global Liquidity, Capital Inflows and House Prices in ASEAN Economies
by Matthew S. Yiu and Sahminan Sahminan
http://www.hkimr.org/uploads/p…..final-.pdf

Aug 28, 2015
2:26 pm
Lawrence
44

China’s Capital and “Hot” Money Flows: An Empirical Investigation
by Tao Cai, Vinh Q. T. Dang and Jennifer Lai
http://www.hkimr.org/uploads/p…..final-.pdf

Oct 11, 2016
10:52 am
Lawrence
45

Article on bond markets
http://www.bloomberg.com/news/…..ike-stocks

The original technical paper by Bengt Holmstrom
http://www.bis.org/publ/work479.pdf

If what he says is correct, all government bonds including the US ones, should be priced at most 50% of their face values like a pawn shop. XD

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