# Tagged Questions

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4answers
510 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 ...
2answers
5k 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 ...
1answer
220 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 ...
3answers
1k 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 ...
2answers
133 views

### Markov Pricing kernel

I'm reading about Markov pricing kernels in the lecture notes of a course I'm following, but I have a big doubt on an application of Ito's lemma. The setting is the following: We define the pricing ...
3answers
353 views

### Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?

I have some trouble understanding a chapter in George Pennacchi textbook "Asset Pricing". Here the author shows that the square of a Wiener Process $[dz(t)]^2$ converges to $dt$ for infinitesimally ...
1answer
67 views

### What is this ratio: expected returns on stock divided by risk free rate?

So this ratio has come up in some work I'm doing and I can't seem to figure out if it is attested in the literature. Here's the setting: Given a risk free rate $r(t)$ and a stock price which follows ...
3answers
219 views

1answer
53 views

### GNP/GDP and modelling [closed]

Is GNP a continuous, static or a dynamic model ? What about GDP ? What I do know is that it has yearly discrete values. However, when it is modeled, it becomes a continuous graph. So what exactly is ...