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 Jul16 revised ETFs have lower tracking error than Futures? added tags Jul16 suggested approved edit on ETFs have lower tracking error than Futures? Jul2 awarded Curious Jul2 comment Implementing A 50/50 Prediction Model Strategy @emcor The 50% rate is only the percentage of right classifications. Just imagine an algorithm that gets the lottery numbers right 50% of the time. See also the comment by Joshua Ulrich Jul1 answered Implementing A 50/50 Prediction Model Strategy Jun26 comment economic facts that causes the financial time series to be heavy tailed For EVT, the more puzzling fact is that the "real" heavy tails do not scale with time... Jun23 comment What Is A Good Success Rate Using Machine Learning For A Beginner? I think this question is definitely appropriate here. I am no expert on this topic, but I think if you use models like that you aim for a success rate that is well above $50\%$ with the amount depending on the cost of implementing the trading signal so that you place bets with an expected value >0. Further more, you would want to add some additional margin (for estimation and modelling error or changing environment for example). It definitely depends on the cost of getting in and out of the position. Thats why there can't be a single target number. Jun11 comment PDF Calculation by Fourier Inversion of Characteristic Function for Affine Intensity Process in Matlab Have you tried the matlab-function ifft? It seems to make more sense than doing the quadrature explicitly. Depending on the implementation, you might have to normalize your vector afterwards though. Jun11 revised calculate gamma value using finite difference method added 5 characters in body Jun10 answered calculate gamma value using finite difference method Apr25 comment derive black scholes greeks I suppose $q$ is a continuous yield dividend and $r$ the risk-free rate. But be careful, $N^\prime$ is most likely not the differential operator here! It is the probability density function of the standard normal. Apr15 comment how to extend lognormal model so that $\sigma$ is correlated to $\mu$? @athos: I guess what you will end up with in the end will something like the "market price of risk" (the linear relationship you mentioned) and the notion of a risk-neutral measure. Please do not mix up correlation and simply a functional relationship. The correlation of deterministic quantities is always $0$. If you really want to pour time into this: This seems like a dead end to me. Apr10 reviewed Close What is shorting a asset that has negative price. Can anyone give me an example? Apr10 reviewed No Action Needed SEC XBRL Context Dates Apr10 reviewed No Action Needed Pricing forward contract on a stock Apr10 reviewed Reviewed How do i test the significance of Sharpe ratio of a strategy using bootstrap Apr10 reviewed Reviewed Are there Python algorithmic trading libraries supporting forex? Apr1 reviewed Reject Are e-mini markets manipulated? Mar31 comment Understanding the derivation of a ML-estimator Could you clarify the first equation in (1)? There are some brackets missing I suppose? And why the notation $(\mathbb{1}^\prime \mathbb{1})^{-1}$? Isn't that just $1/T$? Mar24 accepted Scaling of a transition matrix