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visits member for 2 years, 10 months
seen Aug 21 at 13:59

Aug
4
comment Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?
check with IEX :)
Jul
29
comment Why are we obsessed over normalizing financial data?
cause otherwise you can't compare it?
Jul
25
comment Ito integral approximation by Euler?
seems legit: en.wikipedia.org/wiki/Euler%E2%80%93Maruyama_method
Jul
9
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
For the first, in the original formula $T$ is not inside the summation. The sum has $N$ terms, so instead of subtracting T from the sum, you can subtract T/N from each term. For the second part - $E(\Delta z_i^2) = T/N$, so your second term is $-2 T^2/N^2,$ so the whole thing under the summation sign adds nicely.
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
hmm, where do I miss $T/N$?
Jul
2
awarded  Editor
Jul
2
revised Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
added 801 characters in body
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
Judging by the addendum you've made to your answer after reading mine, it's pretty clear to you, how it relates to the question. I'll expand if I have time and there is interest.
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
no, the last asymptotic is from the law of iterated logarithm. Will try to find a good reference.
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
@vonjd: no, "i.e. ..." part is wrong. You don't square a martingale, you square the sum before the limit, and the whole point is that 1) it converges 2) only if it's the second power. And both parts are manifestations of CLT.
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
This explain neither convergence, nor why square is the right power. It's really CLT for a random walk.
Jul
2
answered Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
Jun
11
awarded  Tumbleweed
Jun
4
asked Do people hedge with leveraged ETFs intraday? How?
Jan
10
comment Book on market microstructure
Out of curiosity, what's so HFT oriented there?
Jan
10
answered Book on market microstructure
Dec
30
comment How to interpret beta meaningfully?
Just wanted to finish your logic to the complete answer: using the formula for beta above, one can see, that beta(A, relative to B) * beta(B, relative to A) = correlation between A and B. So one shouldn't expect them to be inverse of each over. In your example it just means, that the correlation between the returns is sqrt(0.48 * 0.74) ~ 0.59.
Oct
19
awarded  Yearling
Oct
3
awarded  Student
Oct
3
asked interest rate in cost of carry