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S&P/Case-Shiller Boston Snapshot: May 31, 2011
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zhoufeng
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PostPosted: Mon Oct 17, 2011 3:17 pm GMT    Post subject: about the source of the data Reply with quote

hi! It is amazing that read your research report about this real estate future .e..I am a student in china,I am very interest in this real estate derivatives.I want know where can i find these data?because i want do some research about this .god know wether you can notice me~you respond will be appreciate and expected~
my email is 30517013@qq.com
if it is possible ,we can communicate in other time,I think there is a lot of things i can learn form you!
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Boston ITer



Joined: 11 Jan 2010
Posts: 269

PostPosted: Wed Nov 02, 2011 2:06 am GMT    Post subject: Reply with quote

I wasn't going to comment but I figured that I might be able to chime in here.

I concur with GenXer on this one, please do not try to run an arbitrage play on the future's market. Even if you have a good 'backtested' algorithm... since you're working with discrete closing dates vis-a-vis low volume periods, even a high hit ratio can have one or two slippages which could wipe you out completely. The futures is not an amateur's sport.
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admin
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Joined: 14 Jul 2005
Posts: 1826
Location: Greater Boston

PostPosted: Wed Nov 02, 2011 2:50 am GMT    Post subject: Reply with quote

Boston ITer wrote:
I wasn't going to comment but I figured that I might be able to chime in here.

I concur with GenXer on this one, please do not try to run an arbitrage play on the future's market. Even if you have a good 'backtested' algorithm... since you're working with discrete closing dates vis-a-vis low volume periods, even a high hit ratio can have one or two slippages which could wipe you out completely. The futures is not an amateur's sport.


Where would a backtested algorithm fit into what I suggested? I think there must be some fundamental miscommunication going on here if you and GenXer think that what I am suggesting relies on coming up with my own algorithms and models.

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Renting in Mass



Joined: 26 Jun 2008
Posts: 381
Location: In a house I bought in December 2011

PostPosted: Wed Nov 02, 2011 11:15 am GMT    Post subject: Reply with quote

Quote:
I think there must be some fundamental miscommunication going on here if you and GenXer think that what I am suggesting relies on coming up with my own algorithms and models.


Seriously, I wouldn't want to bump into either of them at a party. You could ask them what they wanted to drink, and they would start talking about fat tails and backtested algorithms.
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Boston ITer



Joined: 11 Jan 2010
Posts: 269

PostPosted: Wed Nov 02, 2011 6:21 pm GMT    Post subject: Reply with quote

Renting in Mass wrote:
Quote:
I think there must be some fundamental miscommunication going on here if you and GenXer think that what I am suggesting relies on coming up with my own algorithms and models.


Seriously, I wouldn't want to bump into either of them at a party. You could ask them what they wanted to drink, and they would start talking about fat tails and backtested algorithms.


Well for one, we're on the internet so the self-censoring doesn't kick in as quickly Wink

As for the pep talk, it's been a general observation that certain traders develop a model to determine a moving spot price target and then, use arbitrage techniques to make money when calculated thresholds are breached between the spot and future's ticker.
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admin
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Posts: 1826
Location: Greater Boston

PostPosted: Wed Nov 02, 2011 6:31 pm GMT    Post subject: Reply with quote

Boston ITer wrote:

As for the pep talk, it's been a general observation that certain traders develop a model to determine a moving spot price target and then, use arbitrage techniques to make money when calculated thresholds are breached between the spot and future's ticker.


That's not applicable to what I was suggesting, though. The S&P/Case-Shiller futures are not settled based on the spot price for housing that day, they are settled based on what the price was for housing was 2 - 5 months ago. The home sales which determine the settlement price of the futures will have already occurred two or more months ago and will be in the public record. This isn't a question of betting on a model, it's a question of compiling all of the public sales records faster than S&P (i.e., in less than 2 months).

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