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Wow, this is the 1 million question. No answer available to that. From what I saw is that that question varies from ecn to ecn. You will be very depending on each ecn and how they connect you to liquidity takers.


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One example could be someone using option strategies and its underlying dividends. In these cases, the trader could use early excersise to capture the dividend value. Google it for more information.


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I think there is something that has not been mentioned. "price" is used as the x variable instead of "change in price" or return. This could be a problem, as price itself is non stationary, causing problem to statistical properties. With that being said, correlation is an inflated indicator here, exaggerating their relations. In Heston's model, indeed, the ...



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