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8
votes
4answers
424 views

Position management in presence of continuous forecast

Let's say we have an equity liquidity-providing model that was fitted on 1 minute bar periods. The model forecasts the 1-min next period return given the activity of the previous bars. Now, when we ...
6
votes
1answer
2k views

What are the main differences between discrete and continuous time models when modeling asset price dynamics?

My intuition says that both approaches, discrete time models and continuous time models will be models (i.e. approximations) of reality. Therefore it should be possible to develop useful models in ...
5
votes
1answer
162 views

From $AR(p)$ to SDE

Let the Vasicek model to be $$\Delta r_{t}=k(\theta - r_{t-1})\Delta t+\sigma\Delta z_{t}$$ Due to the fact that $$\Delta r_{t}=r_{t}-r_{t-1}$$ if you let $\Delta t=1$, it is easy to see by ...
2
votes
3answers
580 views

Analyze raw tick data

I'd like to work with raw tick data and naturally this data is unevenly spaced (for example, a couple of quotes are at the same second etc.) For example ...
1
vote
1answer
162 views

Examples of non-increasing variance of a time homogeneous Markovian process

This is an edit to the previous question, on stationary process, which was answered by Richard below. Let $x_t$ be a zero mean, time homogeneous Markovian process over time $t$ starting from ...
0
votes
0answers
78 views

Continuous futures time series

Hi I did go through the previous posts on this topic but still confused. I am basically researching on some ideas and need continuous time futures data. At any point in time I basically have three ...