Siqueira et al. calculated the VPIN using real data to compare with the performance of the Tick Rule (TR) and BVC models in classifying assets traded on the Brazilian stock exchange (B3). In conclusion, TR algorithm shows much better performance than BVC when compared to the real data. ("Analysis of the Tick Rule and Bulk Volume Classification Algorithms in the Brazilian Stock Market").
I understand the quotes soukd be fragmented across muktiple venues the synchronization is impossible to quotes to orders. But how about ES futures which have a single exchange?
how would we model "net exposure change" across products and markets? For example, if we detect aggressive buying in asset XYZ (eg, using bulk volume classification) and simultaneously aggressive selling in short-dated call options on XYZ (or even on another asset with high correlation, etc), it could be helpful to know that the net delta exposure in XYZ by aggressors may not be changing much due to observed activity in this period (but obviously this could reflect opinions on volatility pricing, interest rates, liquidity, etc, etc). Would it be plausible to add a column for "net delta exposure" (where 100 shares = 100 and an option computed for that point-in-time as delta 0.20 = 20) and then sum this as the volume? Anyway, the history and implementation overview were really well-placed here. another great video!
This is deep knowledge beyond your skill level. Get a degree in math and you will realize there is much much more at play and far more to be explored using these fundamentals as a basis.
Siqueira et al. calculated the VPIN using real data to compare with the performance of the Tick Rule (TR) and BVC models in classifying assets traded on the Brazilian stock exchange (B3). In conclusion, TR algorithm shows much better performance than BVC when compared to the real data. ("Analysis of the Tick Rule and Bulk Volume Classification Algorithms in the Brazilian Stock Market").
Muito bom o paper!!!
Yesss a new videooooo !
We missed you
You are top 💜💜
fantastic video, looking forward to the next one absolutely
I understand the quotes soukd be fragmented across muktiple venues the synchronization is impossible to quotes to orders. But how about ES futures which have a single exchange?
Hello, why don't you make a video please about forward variance model? ( Bergomi model for ex )
would you be able to please do a video on applying this algo to the realtime spx options feed. i’ll also post the request in ur discord group. Thanks!
how would we model "net exposure change" across products and markets? For example, if we detect aggressive buying in asset XYZ (eg, using bulk volume classification) and simultaneously aggressive selling in short-dated call options on XYZ (or even on another asset with high correlation, etc), it could be helpful to know that the net delta exposure in XYZ by aggressors may not be changing much due to observed activity in this period (but obviously this could reflect opinions on volatility pricing, interest rates, liquidity, etc, etc).
Would it be plausible to add a column for "net delta exposure" (where 100 shares = 100 and an option computed for that point-in-time as delta 0.20 = 20) and then sum this as the volume?
Anyway, the history and implementation overview were really well-placed here. another great video!
He's back, time to get back to work, boys
can you code a garch volatility model in python?
Volatility videos coming very soon
You sure its not hindsight biased?
The market priced this in
In my oppion can be for crypto trade bro
Bro u r overcomplicating..... It's far more simpler in real life....
I wonder if u trade at all?
lol what? what exactly is simpler in real life?
This is deep knowledge beyond your skill level. Get a degree in math and you will realize there is much much more at play and far more to be explored using these fundamentals as a basis.
@@NCF80M3agree well said