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Hi Mark,
TD> In stock option trading the majority of the business is electronic
TD> from individuals ..... the auto execution systems fill off of the
TD> bid and ask .... automatically.
Mark> I still wonder what significance this data holds? for testing
Mark> purposes or any other purpose?
You may be absolutely right. There may be nothing of significance (meaning
nothing useful for a trader to actually use to design a trading system) in
the bid and the ask record. However, as someone who analyzes data for a
living, I thought I would look at this data just to see what was there.
Mark> there are many people who have gone down this road - they all
Mark> got lost.. but then again i have no Linear Accelerator - i only
Mark> have a few old Cray's
I'm afraid that your Cray's will be much more useful in analyzing the
financial markets than my linear accelerator. Wanna trade? :-)
It may be that others have already analyzed the bid/ask stock option data
and discovered nothing. However, if they have, then they either haven't
published their results or, more likely, I just haven't looked hard enough
in the literature. If it wouldn't be too much trouble, might I ask you for
any references to other analyses that might be similar to the study I am
pursuing?
Your anecdote about brokers timing the delay of the bid/ask to the hang up
of the phone is both amusing and useful information. I assumed you meant to
imply that such actions would smear the data with some random distribution.
This is actually useful information.
--
Matthew D. Langston
SLD, Stanford Linear Accelerator Center
langston@xxxxxxxxxxxxxxxxx
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