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To price financial instruments such as options, bonds and stocks must be priced so as to be "arbitrage free". The concept of arbitrage can be made precise by one of the fundamental ideas of quantitative finance, the so called Arbitrage Theorem. Put differently the Arbitrage Theorem provides a very elegant and general method for pricing derivative ...


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Optimization is definitely important in Quantitative Finance, especially for portfolio optimization where we maximize utility of the return of a portfolio as linear weighted vector of asset returns subject to a desired risk level: $$ \max_{w\in[0,1]^n} U(\mu_p(w),\sigma_p(w))\quad s.t. \sum_{i=1}^n w_i=1$$ where $w$ being the portfolio weights, and $U$ ...


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Well, well ... First of all, i doubt people would think of hedge fund strategies in the way you are thinking. If I were to classify, the first order of a super high-level classification would be, for example, equity stock selection (e.g. say Apple vs Google, etc.), macro selection (e.g. currencies, commodities, country bets via stock indices, etc.), or ...


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Apart from the usual risks measured by Greeks there's risk associated with volatility dynamics. Volatility surface moves with stock movement and is usually dependant on stock price level. This risk is usually modelled by extensions to volatility models that take underlying price into account or stochastic volatility models (e.g. SABR). The way to do ...


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S&R levels can be obtained quite easily. However, you will not find this data in most references. Professional day traders use value areas from the previous day as well a forming value areas in the current session. There are several crucial levels gathered from the previous GLOBEX session. These can be derivied from any market. These support/resistance ...


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Do not concur with the paradigm behind this thinking: "The problem is, a random process will consistently generate lots and lots of S&R levels, and you can be 100% sure that those S&R levels mean absolutely nothing. Think about it, how can a random process NOT turn and go the other way?" "Random" means 50/50. Whoever believe the markets are random ...



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