Post Outline
- Notes on Part-2
- The Data
- Bid-Ask Spread Analysis
- How Do Aggregate Bid-Ask Spreads Vary with Days To Expiration?
- How Do Bid-Ask Spreads Vary with Volume?
- How Do Bid-Ask Spreads Vary with Volatility?
- Summary Conclusions
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Post Outline
- The Objective
- The Data
- Basic Data Analysis
- Bid-Ask Spread Analysis
- How Do Aggregate Bid-Ask Spreads Vary with Days To Expiration?
- How Do Bid-Ask Spreads Vary with Volume?
- How Do Bid-Ask Spreads Vary with Volatility?
- Summary Conclusions
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Post Outline
- Recap
- The Problem
- The Solution
- Barchart Scraper Class
- Barchart Parser Class
- Utility Functions
- Putting it all together
- The Simple Trick
- Next Steps
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Post Outline
- Strategy Summary
- References
- 4-Week Holding Period Strategy Update
- 1-Week Holding Period Strategy Updated (Target Leverage=2)
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Post Outline
- Strategy Summary
- Results
- Conclusions/Analysis
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