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visits member for 3 years, 7 months
seen Jan 7 at 13:46

"I would never die for my beliefs because I might be wrong."

-- Bertrand Russell


Aug
29
comment HFT: What is the big differentiator in comparison to other time scales?
One of the main goals of HFT is to be able to trade huge amounts as inconspicuously as possible by slicing the transaction up into many small ones.
Apr
10
comment Lévy alpha-stable distribution and modelling of stock prices.
The hyperbolic-secant has finite mean and variance, what is the connection with general Lévy distributions? Your answer is not really addressing the issues in my question. It learned me a couple of new distributions though, so I'll not downvote it.
Feb
8
comment Lévy alpha-stable distribution and modelling of stock prices.
Very nice as well! I didn't think it was already settled that Lévy-stable distributions are irrelevant to stock prices. What about the price of commodities? After all, it's closer to the kind of risks that occur in insurance and it also was the very first example Mandelbrot studied (cotton prices).
Feb
2
comment Lévy alpha-stable distribution and modelling of stock prices.
Not quite what I was looking for, but still interesting. +1
Feb
2
comment Lévy alpha-stable distribution and modelling of stock prices.
Nice, for now it's the best answer, but I'll wait a bit for more to come in.