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| bio | website | |
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| age | ||
| visits | member for | 1 year, 1 month |
| seen | May 3 at 21:37 | |
| stats | profile views | 24 |
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Apr 22 |
awarded | Teacher |
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Apr 22 |
comment |
What mathematical characteristics are required from the asset price process in order to stay within the RNP framework? If you can find a risk-free portfolio that replicates the conjured payoff, return must equal the risk-free interest rate. Else, an arbitrage opportunity exists. |
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Apr 22 |
answered | What mathematical characteristics are required from the asset price process in order to stay within the RNP framework? |
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Apr 19 |
comment |
HFT: What is the big differentiator in comparison to other time scales? Has the claim "depth and length of drawdown is reduced" been investigated anywhere? While I have heard about cases similar to the mentioned +0.5 +0.5 ... -20 = 20 as well, it is just anecdotal. On average most HFTs might not be profitable. Does anybody know literature or have evidence for one or the other? |
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Apr 18 |
comment |
Does HFT make sense in a pro-rata market? Taking liquidity usually means filling someone else's. |
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Apr 11 |
comment |
What kind of basic framework or application do you use to run your trading algorithms? Hm, yesterday I saw a post where somebody explained his/her execution backtest. After estimating expected latency, she chose a range of likely prices; now you can look at the average price you'd get or take the worst price in that range. I believe looking at both cases makes execution more robust. |
