_Dictionary

Greed Trumps Fear Every Time In The Stock Market

Taurus (Latin for "bull")

Praxeology is the science of human action. The term was coined and defined as "The science of human action" in 1890 by Alfred Espinas in the Revue Philosophique, but the most common use of the term is in connection with the work of Ludwig von Mises and the Austrian School of economics.

Salability liquidity

Ex-Post Analysts use ex-post data on price movements, earnings, and other metrics to try to predict expected returns on an investment. An ex post facto law (Latin for "from after the action" or "after the fact"), also called a retroactive law.

Ex-ante before the event. The term ex-ante (sometimes written ex ante or exante) is a phrase meaning "before the event"

A posteriori: "From the latter" — based on observation, the reverse of a priori.

A priori: "From the former" — presupposed, the reverse of a posteriori.

Volatility can be daily price standard deviation. It is commonly quoted with the stock. Other time scales can be used; don't have to calculate daily. I have mentioned this issue a few times because there is evidence that sentiments are oftentimes better at predicting volatility than trend. Hence my interest in the VIX.

CTA: Commodity Trading Advisers

Exchange traded fund (ETF): like stocks Exchange traded note (ETN): like bonds

• ETFs have the liquidity that comes with a single stock. ETNs are a debt obligation
• ETNs have maturity dates. When you hold an ETN until the maturity date, you receive a one-time payment based on the performance of the underlying asset, index or strategy. If you wish to sell sooner, you can sell on the open market.
• Both ETFs and ETNs give access to hard-to-reach markets
• ETNs have no tracking error

LEVEL 1 data: A trading service that displays real-time bid/ask quotes and last sales for securities trading on a stock exchange. Level 1 quotes supply basic information that may suffice for most investors, but not for active traders. Such traders generally need the complete order book and market depth information that is offered by Level 2 quotes. LEVEL 2 data: A trading service consisting of real-time access to the quotations of individual market makers registered in every Nasdaq listed security, as well as market makers' quotes in OTC Bulletin Board securities. Level 2 market data provides the most comprehensive and in depth set of data available on trading activity. This means more informed trading and investing, through high visibility of the factors and trends underlying price movements, all updated in real time, all the time. With access to Level 2 market data you can see the orders awaiting execution on the buy and sell side of the order book.

TWAP and VWAP: to gauge trading performance, many traders in different asset classes (equity, fixed income, currency) often use average price as a benchmark. The two common ways to calculate an average are a time-weighted average price (TWAP) and a volume-weighted average price (VWAP). TWAP is the average price of a bitcoin over the course of a specified period of time and VWAP is price multiplied by number of bitcoins traded, and then divided by the total number of bitcoins traded during a time period.

Basis Point: 0.01 percentage point

The Greeks

Drawdowns cause exponentially greater damage the larger the drawdown. In other words, it only requires an 11% gain to break-even after a 10% loss. However, it requires a 100% gain to break-even after a 50% loss. This means it is critical to keep drawdowns small.

Value at Risk (VaR) is a widely used risk measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, probability and time horizon, VaR is defined as a threshold value such that the probability that the mark-to-market loss on the portfolio over the given time horizon exceeds this value (assuming normal markets and no trading in the portfolio) is the given probability level. For example, if a portfolio of stocks has a one-day 5% VaR of $1 million, there is a 0.05 probability that the portfolio will fall in value by more than $1 million over a one day period if there is no trading. Informally, a loss of $1 million or more on this portfolio is expected on 1 day in 20. A loss which exceeds the VaR threshold is termed a “VaR break.” Thus, VaR is a piece of jargon favored in the financial world for a percentile of the predictive probability distribution for the size of a future financial loss.

Statistical arbitrage is used in two related but distinct ways:

• In academic literature, "statistical arbitrage" is opposed to (deterministic) arbitrage. In deterministic arbitrage, a sure profit can be obtained from being long some securities and short others. In statistical arbitrage, there is a statistical mispricing of one or more assets based on the expected value of these assets. In other words, statistical arbitrage conjectures statistical mispricing of price relationships that are true in expectation, in the long run when repeating a trading strategy.
• Among those who follow the hedge fund industry, "statistical arbitrage" refers to a particular category of hedge funds (other categories include global macro, convertible arbitrage, and so on). In this narrower sense, statistical arbitrage is often abbreviated as Stat Arb or StatArb. According to Andrew Lo, StatArb "refers to highly technical short-term mean-reversion strategies involving large numbers of securities (hundreds to thousands, depending on the amount of risk capital), very short holding periods (measured in days to seconds), and substantial computational, trading, and information technology (IT) infrastructure".

Débrouillards. The French word describes particularly effective and motivated people. To call someone such is to tell them how resourceful and ingenious he or she is. They are part of the “l'économie de la débrouillardise.” Or in the slang phrase used on the street, pirated from the French-speaking Africa and Caribbean… these people are a part of “Systeme D”. “System D” is the economy of improvisation.

Market Moods ontology

1. trend up and calm
2. trend up and volatile
3. sideways and calm
4. sideways and volatile
5. trend down and calm
6. trend down and volatile

$MARKET symbol (all sentiments aggregated) and it appears a significant chunk of the strongest feeling is provided off market hours eg late at night and very early in the morning eg 5 a.m.

Levy Distributions Levy's work on random processes had led him to study a class of  probability distribution now called Levy-stable distributions. The normal and Cauchy distributions are both examples of Levy-stable dis­tributions, but Levy showed that there is a spectrum of randomness, ranging between the two. (In fact, there are even wilder varieties of randomness than the Cauchy distribution.) Wildness can be captured by a number, usually called alpha, that characterizes the tails of a Levy- stable distribution. Normal distributions have an alpha of 2; Cauchy distributions have an alpha of 1. The lower the number, 1 lie more wildly random the process (and the fatter the tails). Distributions that have alpha of 1 or less don't satisfy the law of large numbers in fact, it isn't possible to even define the average value for a quantity that wild. Distributions with alpha between 1 and 2, meanwhile, have average values, but they don't have a well-defined average variability what statisticians call volatility or variance — which means it can be very hard to calculate an average value from empirical data, even when I he average exists.

Open Interest

• The total number of options and/or futures contracts that are not closed or delivered on a particular day.
• The number of buy market orders before the stock market opens.

A common misconception is that open interest is the same thing as volume of options and futures trades. This is not correct, as demonstrated in the following example:

• On January 1, A buys an option, which leaves an open interest and also creates trading volume of 1.

• On January 2, C and D create trading volume of 5 and there are also five more options left open.

• On January 3, A takes an offsetting position, open interest is reduced by 1 and trading volume is 1.

• On January 4, E simply replaces C and open interest does not change, trading volume increases by 5. NASDAQ Trading Sessions (Eastern Time)

• Pre-Market Trading Hours from 4:00 a.m. to 9:30 a.m.

• Market Hours from 9:30 a.m. to 4:00 p.m.

• After-Market Hours from 4:00 p.m. to 8:00 p.m.

• Quote and order-entry from 4:00 a.m. to 8:00 p.m.

• Quotes are open and firm from 4:00 a.m. to 8:00 p.m.

Closing price information reported externally by NASDAQ to market data vendors and the media is based on the price at 4:01 PM ET when the market officially closes, and is not affected by other sessions. NASDAQ also has a Holiday Trading Schedule and a Settlement Date Schedule