Market Model Thingy

[CallMeIshmael]

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Phone,

"What kind of assumptions are you using for execution prices?"

Sorry, what is an execution price?


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What prices are you buying and selling at?

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Well, I never really had a specific trading rule in mind for this model. I was more interested if these sorts of predictions were even possible. I'm almost certainly going to put some real effort into a much better model, using intraday data. There, I'll be very interested in maximizing return, and producing a solid trading rule.


Given that it seems haakee implied $10/trade is a reasonable transaction fee (and assuming a trade = buying AND selling, and we dont pay for both), I'll probably compute some returns using a strategy of buying at opening price and selling at closing price for each day.

How reasonable is the assumption you can buy/sell at open/close prices?