Reputation
1,171
Top tag
Next privilege 1,250 Rep.
Create tag synonyms
Badges
5 23
Newest
 Yearling
Impact
~23k people reached

1d
comment George Soros models
Thanks, it's an opinion worth reading about, I'll take a look at the references. Just one thing, in the highly automated environment things are much simpler on a short time range, yet ideas of reflexivity may well be present there as people who programmed those algorithms might have had it in mind on intuitive level at least. So understanding behavior of such algorithms should also come empowered with reflexivity. Nevertheless, after the time passed from me posting this question, I was able to find some answers in game theory.
Jul
30
comment Monte Carlo simulating Cox-Ingersoll-Ross process
That's comprehensive, thanks so much!
Jul
14
comment Which distribution do I get?
@Gordon: why do I need to do that? My point is that I have some market prices, hence I can imply distribution from the market prices. I don't know what the distribution would be in advance
Jul
14
comment Which distribution do I get?
@Gordon: was a typo
Jul
14
revised Which distribution do I get?
edited body
Jul
13
answered How free are we in risk-neutral distributions?
Jul
13
comment How free are we in risk-neutral distributions?
I assumed that we have not chosen a particular model. Of course Brownian motion would impose some additional constraints just by its special structure. To say the least, the resulting distribution is going to be lognormal. I think I found that the answer is yes. Will post it soon, thanks for the interest though.
Jul
12
asked How free are we in risk-neutral distributions?
Jul
12
revised Which distribution do I get?
added 104 characters in body; edited tags
Jul
12
asked Which distribution do I get?
May
29
answered Difference between ito process, brownian motion and random walk
May
7
answered Why is Brownian motion merely 'almost surely' continuous?
May
6
answered Is a stationary process necessarily mean-reverting?
Feb
21
awarded  Yearling
Dec
30
comment FTAP a-la Harrison, Kreps and Pliska
@user8: I meant this one
Nov
9
comment Stochastic Differential
Like any other differential, this differential is defined in terms of its integral - that's a bit of an overstatement. It certainly is the case for most of stochastic differentials, but in real analysis the basic differential on a real line is often defined formally way before integrals.
Nov
9
comment What is a canonical book or article to learn pair trading?
The book "Pairs trading" by Vidyamurthy is a standard reference
Sep
24
awarded  Autobiographer
Jul
2
awarded  Curious
Jun
19
awarded  Notable Question