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FinAnalytica Inc www.finanalytica.com has a multi-asset class commercial implementation including fitted classical tempered stable distributions and fitted skewed t-distributions (for lower frequency data) in its software named Cognity. You should talk to those guys. Their backtests do all the talking...risk forecasts from left tail all the way through to ...


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Every match that hits the tape from the perspective of displayed ECNs is a market order matched with a limit order. You can think of this in terms of makers and takers. If I want to buy MSFT at 51.00 and post a limit for that price 3 microseconds before you post your limit to sell at 51.00 then I am the maker and you are the taker. And your sell order will ...


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I would think the reason is you are comparing apples and oranges. With your described Bloomberg solution your are just ripping prices off a terminal application. Bloomberg's Terminal application is - AFAIK - receiving a conflated stream of prices. To most users this is actually a good solution as their workstation would otherwise get overloaded. You then ...


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Statistics is about comparing like with like to come up with a conclusion. First thing in any analysis is to demean the data. After demeaning, absolute VaR may still be less than the mean return, but if the mean is a fat risk premium which you might not achieve - that can be serious also. Lastly, VaR figures are only as good as their backtest. If they ...


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Singer and Terhaar original paper can be found at this link. They do not provide an explanation about how to estimate this factor and just mention that both values provide a boundary. The CFA curriculum mentions that " For example, it has been observed that developed market bonds & equities are approx 80% integrated and 20% segmented.", however the ...


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They won't be the same. If you run a discrete simulation you will get the actual (or an instance of an actual path) price process for the future value of the stock using the real probability measure. If you do the same thing using the closed form solution, the path will look very similar but will drift downwards. Why are they different? To see it ...


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The Technical Analysis of Financial markets is considered as a milestone of the matter. I suggest to read that before starting to test your strategy. It explains well the use of each indicator, providing the economic reason behind that and when it is useful to use that; moreover, the book deals the stock market with mainly, as you need for. In my humble ...



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