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Mar
13
comment Does the gamma function have any application in quantitative finance?
The beta distribution shows up in lots of ways, and is a special case of the Dirichlet dist. The binomial dist is discrete and the beta is continuous. The cumulative distribution for the binomial dist has similarities to the beta function. And, the beta dist is the conjugate prior of the binomial dist. Change the beta shape parameters to get the uniform dist, arcsine/Jeffreys dist, etc. After some digging, here's an article that uses the above relationship directly. You'll find other articles with similar equations. selab.janelia.org/pub/publications/Eddy-ATG3/…
Mar
12
answered Does the gamma function have any application in quantitative finance?
Mar
11
answered Seeking Historical Non-Finance Datapoints for Backtesting
Mar
7
awarded  Quorum
Mar
4
comment Price of Brent versus West Texas Intermediate
You're graph is probably right. For me to generate that graph is a lot of work, and a "long term hedge" for me is only 2 or 3 weeks. I'm not in a position to hold right up to the close, so my rolls typically happen one to three days before maturity. In any case, any hedge that I configure is an attempt to ride some form of a mean reversion.
Mar
4
revised Is there any good research on support and resistance?
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Mar
4
comment Price of Brent versus West Texas Intermediate
If you rebalance the hedge every time the contracts are rolled, you'll get something much closer to the plot in green.
Mar
3
comment Price of Brent versus West Texas Intermediate
@fRed I agree, actual futures/options positions will provide a different picture than what's shown above. However, the one similarity is the "flatness" of the above tops and the "spikyness" of the bottoms. The reason that I'm not playing the game is my fear of the current situation turning into something similar to the above "May 2007" episode (spike after spike). The return to a neutral zone may take many months, and predicting that requires data that I can't get.
Mar
3
revised Is there any good research on support and resistance?
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Mar
3
awarded  Commentator
Mar
3
comment Is there any good research on support and resistance?
Here's just one example of what I would call "garbage". Notice at the bottom of the last page, where it came from. citeseerx.ist.psu.edu/viewdoc/…
Mar
3
comment Is there any good research on support and resistance?
@chris: I wasn't trying to be a jerk by giving a short answer. It's just that that is the answer. Anyone that runs the above, or similar code over and over will find that it is rare to NOT find "support" and "resistance". They can prove it to themselves, regardless of what I say. I don't think this is off-topic, I think it is reality poking through.
Mar
2
answered Is there any good research on support and resistance?
Mar
2
answered How does UBS hedge its exposure to XVIX ETN?
Mar
2
revised Supply and Demand of Oil
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Mar
2
revised Supply and Demand of Oil
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Mar
2
comment Supply and Demand of Oil
@Archival: I edited my original answer to answer your questions.
Mar
2
revised Supply and Demand of Oil
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Mar
1
revised Price of Brent versus West Texas Intermediate
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Mar
1
comment Supply and Demand of Oil
Really? And, the question is closed? Really? If he asked a similar question on supply/demand for a CDO or CDO^2 would the question get closed?