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seen Oct 23 at 7:04

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
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
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.