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  • 0 posts edited
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  • 39 votes cast
May
21
comment Negative high frequency intraday volatility - Zhou estimator
I am saying, that the term you are worried about is not the whole volatility estimate, but rather a correction. And for large $N$ this term (even when negative) won't make your volatility estimate negative.
May
21
comment Negative high frequency intraday volatility - Zhou estimator
if $Q > 0$ and $N$ is large, $Q + C/N^{1/2} > 0,$ right?
May
14
comment Machine learning to build top 3 price scenarios over n days
It's very easy: either it will move up, or down, or will stay roughly the same. See, no ML needed.
Apr
29
comment Is a stationary process necessarily mean-reverting?
Thanks for the reference to the paper. It's very helpful - I wasn't aware of this phenomenon.
Apr
28
comment Is a stationary process necessarily mean-reverting?
Is it obvious, that this process is well-defined for all t > 0? Otherwise, I wouldn't call it a legit counter-example.
Apr
24
comment US options market/microstruture research
I disagree. Basic or not, I too would love to see references for good papers and surveys on market microstructure in options from specialists in the field.
Apr
16
comment Determination of Quote / Trade Ratio
your definition of a quote is different from his.
Apr
14
comment How to evaluate a success rate of a trading strategy
ic. If you counted volume in winning transaction, it would help? E.g. for both A & B there are 10 winning shares / 20 total, no matter how you split it.
Apr
13
comment How to evaluate a success rate of a trading strategy
It's not clear to me, what are you trying to solve. E.g. in your example A vs B, what conclusion would your ideal evaluation method give?
Mar
24
comment possible to estimate if hard-to-borrow?
Liquid leveraged ETFs (SDS, FAZ etc) will pass your filter and still may be hard to borrow on certain days. I'd remove those, and, probably, VXX - related family of ETFs.
Feb
25
comment How to approximate the time to mean reversion for implied volatility
out of curiousity, - for VIX, you can, probably, get a much better estimate of the long term mean by looking at futures term structure, right?
Dec
1
comment What to do when I do not get enough fill in cash leg during cash - future arbitrage
Depends on how you get into the spot.
Sep
16
comment Do people hedge with leveraged ETFs intraday? How?
Thanks, I am aware of the issues around the close / overnight rebalance. But I think it's not that easy even if you want to hedge, say, till 2pm.
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
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.