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visits member for 2 years, 8 months
seen Dec 2 at 15:26

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.
May
1
answered Is there an optimal covariance one would want forecasts to have?
Apr
30
comment Stock Price Behavior and GARCH
miggety: "at each time step": Is that for each path and each time step, so maybe 100,000 GARCH recalculations per time step? Does the GARCH-result depend that much on 1 additional time step? I mean you add 1 data point each time step. @Owe Jessen miggety's GBM formula is the Euler-Maruyama discretisation of the SDE which yields an analytic solution like the one you are using, Owe. See GBM as well.
Apr
27
comment Is there an optimal covariance one would want forecasts to have?
While "generate a time series of return forecasts" might be what could be done, in standard portfolio optimisation you take only into account the expected return for the next period. So you are suggesting to save these forcasts for a couple of periods and look at the covariance of these series? After some more reading and thinking your model pretty much looks like a VAR (vector autoregressive) model.
Apr
27
awarded  Student
Apr
27
asked What is the highest frequency greek for options on futures on bonds?
Apr
23
comment What mathematical characteristics are required from the asset price process in order to stay within the RNP framework?
Practicality is a difficult quality. I think you do not need to over-engineer a model. It should fit your underlying, payoff and purpose enough. Maybe it must be calculated in 1 ms instead of being accurate to the 7th decimal point. And no, PDE methods do not always help you. Their approximations might suffer from the "curse of dimensionality". So they might be incomputable for complicated underlying and payoff.
Apr
22
awarded  Teacher
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.
Apr
22
answered What mathematical characteristics are required from the asset price process in order to stay within the RNP framework?
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?
Apr
18
comment Does HFT make sense in a pro-rata market?
Taking liquidity usually means filling someone else's.
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.