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visits member for 2 years
seen 13 hours ago

Oct
9
answered CARA Utility function expected utility
Oct
9
awarded  Editor
Oct
9
revised Analyzing tick data
added 2 characters in body
Oct
9
answered Analyzing tick data
Sep
24
awarded  Scholar
Sep
24
awarded  Supporter
Sep
24
accepted Trade Count Time Series
Sep
24
comment Trade Count Time Series
I am undecided which answer to accept. Since I believe that IB offers a lot of asset classes and exchanges and the count is supposedly then available for all history, I opt for this one.
Sep
23
comment Trade Count Time Series
Ok, so IB provides this data. Nice. This is not an option if you do not trade via IB, but for me and, I believe, many others this is ok.
Sep
23
comment Trade Count Time Series
Yes, I stumbled upon this link yesterday and figured that simply loading tick data might give a hint - how to interpret ticks? It is not the BBO I get, but the prices of trades that happened, right?
Sep
22
asked Trade Count Time Series
Aug
18
comment How to hedge against lack of volatility
What is "the 30 delta" here? Is it delta of 0.3?
Jul
10
answered What is an efficient data structure to model order book?
May
19
comment How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?
S under Q is supposed to return r (risk-neutrality) in total. Since it continuously yields delta, a drift of r under Q would yield r+delta. Thus risk-neutral drift is to be corrected by -delta.
May
18
comment How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?
Yes, you are right. It should've been mu=mu*-r, i.e. theta=(mu*-r)/sigma with mu*=0 with your gBm assumption. This would've yielded (r-delta) under X.
May
18
awarded  Commentator
May
18
comment How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?
ad) "I assume you are referring to dS/S = mu dt + sig dz, but why does this stop being gBm if mu = 0?": In "The index is described as "following a geometric Brownian motion", which to me says that the there is no other drift going on" you seemed to deduce that mu=0 from the fact that the index is supposed to follow a gBm. I wanted to make clear to you, that although the index is supposed to follow a gBm, this does not imply that mu=0.
May
18
answered How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?
May
11
answered Which greeks do you need to hedge if you want to implement an implied-volatility security?
May
2
comment Good reference on sample autocorrelation?
Your claim that lim_{n->inf} sqrt(n) r_hat is supposed to be an element of the normal distribution does not make sense mathematically. A distribution is not a set. If you mean its support, that is the real line, an element of which your limit surely is. But there is little value in that claim. Besides, regarding autocorrelation basically autoregressive time series and fractional Brownian motion (and numerical approximation thereof) come to my mind. But I'm not sure wether either topic fits your background and time frame.