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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.
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.