Could you please give more advice on *how* you trade the Microcaps? Would would be minimum liquidity and on those with a large spread (>2% between bid & ask, perhaps with small shares available) do you just target the ask with a limit order and leave it, or hit mid market, or buy and hope for a fill?
Yes, thanks very much. Also if you don't mind, is the percentage of your Russell 2000 hedge something that you calculate algorithmically? it sounds like something I should be doing
Could you please give more advice on *how* you trade the Microcaps? Would would be minimum liquidity and on those with a large spread (>2% between bid & ask, perhaps with small shares available) do you just target the ask with a limit order and leave it, or hit mid market, or buy and hope for a fill?
Try the bid or mid market first, if not filled buy the ask next day.
Yes, thanks very much. Also if you don't mind, is the percentage of your Russell 2000 hedge something that you calculate algorithmically? it sounds like something I should be doing
oh, now I am seeing the "hedging" module in P123 that I previously ignored. time to do some simulations :-)
yes, really nice stuff on p123.
Wow thank you sir I am studying this paper