Tag Archives: Reading

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2016 Goldman Sachs Back-to-School Reading List

2016 Goldman Sachs Back-to-School Reading List

These are more economic and social than trading itself

http://www.investopedia.com/news/2016-goldman-sachs-backtoschool-reading-list-gs/

Thanks to George on my Facebook for sending

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Notes on Reading futures contract price quote tables

Notes on Reading futures contract price quote tables

The closing price is what is used by the clearinghouse to adjust all open positions to at the end of the trading day.
Open interest is the number of open outstanding positions of not been liquidated yet. If I buy today and the short one position to reverse position, you have a trader sells a position who was long, Both are getting out the trade so open interest will fall.Open interest will rise before expiry has to go back to zero.
For pricing on tbond December 03 contract up 111_10 size of the contract is $100,000 The points are 32% of 100% in the contract with trade at par. This is a deliverable contract. If you look at the exchange you’ll find it could have a 15 year maturity with 6% interest. If the long-term interest rates are below 6% it will trade above par. The long-term interest rate is at 6% trade at exactly 100%. There is an indirect relationship between interest rates and bonds. When you look at the 111_10 the point of each 10th is worth $31.25. 31.25 x 32 is equal to $1000. The 111_10 is an interest-rate of par so what is trading above par value since interest rates are below 6%. The 111 is the percent of par since interest rates are below 6%, so it could be at 100 if it was at exactly 6% . It really is a percentage.so the 111_10 is really $111,000 +31.25x10equaling $111,312 which is the value of this contract.

If you see the change of -24 or 24÷32 which equals $750. That changes from the previous day close.

Some participants will do a market squeeze to spike the price if there’s not enough inventory physically to meet demand with the future is about to expire.

Euros per US dollars $125,000 in euro per contract. This is priced US dollar per euro.most currencies are listed Price of foreign-currency against the US dollar. So you could have The euro at 117 open settle that 116.67 so it went down. So that is €116 times the size of the contract of 125000 this will give you a total value of $1.16 per euro times €125,000 equals $145,000. This is the approximate value of the contract. Because it is dollars per euro, if a dollar get stronger that price will fall.

For index futures The S&P has minis. It’s a $250 times the index which could be slightly above the index, if it settles at 109.60 the s&p size of the comtract is slightly higher than 1000. Contract could be 250 times thousand which makes the contract value of $250,000. Small price changes can wipe you out. The mini is only 50 times the index. Is 1/5 of the value which makes the contract $50,000. The Dow is 10 times the size of the contract which makes it $100,000. The change of the index is only in increments of $10.

For Eurodollar as a face value 1 million and the price quotes are in 1/100 cents. Price quotes are 100 minus interest rate. If the price settle is at 9.986 then will be 1.14 becomes yield. 98.86 equals 100-1.14. Each point of the yield is worth $25
If movement of 1.24-1.14=10 pts x $25 =$250 for profit or loss

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Reading and Writing of the SDR for Artificial Intelligence in trading and Finance

Reading and Writing of the SDR for Artificial Intelligence in trading and Finance

Another from Dr Paul Cottrell

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Best thing from Tim Sykes? Reading Level 2 market trading data

Best thing from Tim Sykes? Reading Level 2 market trading data

Very very very good stuff which is a game changer

http://www.timothysykes.com/2014/03/level-2-quotes-definition-introduction/

Just so you realize, the #3 is pretty impressive www.sherweb.com/blog/10-most-profitable-bloggers-and-where-their-money-comes-from/

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I was just reading a funny book chapter: Nerds on Wall St

I was just reading a funny book chapter: Nerds on Wall St

Here are some things I consider now, and I’m interested if you have others.

* the relationship makes sense
* parsimonious model / few parameters
* parameter values aren’t extreme (use regularization)
* start with a relationship in mind
* don’t try too many ways of improving the model
* check that it isn’t overly sensitive to parameter values
* hold a couple of years’ data out-of-sample for testing
* must work consistently over time/stocks/markets
* no black box, I need to see how decisions are being made
* many trade opportunities for increased statistical significance
* the distribution of returns looks reasonable

http://www.wilmott.com/messageview.cfm?catid=38&threadid=97417

From Sholom so thank to him

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Finally getting back to reading about Matlab Simulink, Stateflow, etc for quant, HFT and trading potential

Finally getting back to reading about Matlab Simulink, Stateflow, etc for quant, HFT and trading potential

I feel more normal and balanced now.

Thank you.

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Quant Book review coming: So I started reading this book by Robert Pardo The Evaluation and Optimization of Trading Strategies

 

Quant Book review coming: So I started reading this book by Robert Pardo  The Evaluation and Optimization of Trading Strategies

I got mixed feelings on this book but I will do a full book review on it here in coming days. So far, nothing out of the ordinary.

 

 

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Dear Bloomberg? Now it 4x the reading with this revamped redesign Switch to Morningstar?

Dear Bloomberg? Now it 4x the reading with this revamped redesign  Switch to Morningstar?

I wish they could kept things simple and orderly. Now I feel I got to 4 times the info I used to read daily. Ugh. Do I switch to simpler Morningstar?

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