From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?
I have read about something like Kelly criterion for long term expectation maximization assuming a fixed starting bankroll. But if one can assume unlimited leverage, and one has a signal for a price ...
I need suggestions for some good books on the following topics: Credit Value Adjustment (CVA) / Credit Risk Probability of Default / Loss-Given-Default / Exposure-At-Default modeling Any pointers ...
Suppose we are assuming the HJM framework. My question is, if it is possible to derive for different choices of the volatility function $\sigma$ (and hence of the drift function) the most common short ...
I'd like to calculate portfolio allocation beta on a portfolio that has different asset classes. The portfolio may be made up of: ...