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Apr
30
comment Discrete Trading to reduce speculation
The idea is to limit intraday activities wich are difficultly linked to real economy.
Apr
28
accepted (Re) normalisation of random variable in Monte-Carlo simulations
Apr
27
asked (Re) normalisation of random variable in Monte-Carlo simulations
Apr
20
comment What is a Basis Swap Curve?
Where did you see this term ?
Apr
15
answered Why normalize only data for CDSs for PCA?
Apr
2
awarded  Yearling
Jan
2
comment interbank market rates - missing data
Thakns for your answer. As a non-native english speaker I would highly appreciate a short illustration of the "Taking your EONIA example, I would simply take the difference between the rate before and after the missing spot(s), and divide it by the missing spots and increment the before rate with the found coefficient." part of your answer with number.
Dec
28
comment interbank market rates - missing data
Should I just remove week-ends/banks holidays or interpolate them ?
Dec
28
asked interbank market rates - missing data
Sep
16
comment Double auctions in online games
Plus add every cost you could think of. If you want to be on multiple place/products/plateform you need to pay for it, you need to adapt your HR dep, your offices. You need specialised lawyers, translator... etc. It is rarely profitable to diversify your activity. (unless you are a japanese conglommerate and you have satured every market you are in).
Sep
16
comment Double auctions in online games
I think this is about work organisation (See Taylorism/Fordism) applied to the finance industry. What do you think is more efficient for a company: one specialist in forex trader and one specialist in commodities or two average traders in forex/commo ? You can ask the same from a trader point of view: what would be best: be good at something or be average at everything ?
Sep
2
comment Option on a dice game
There is no discount as these kind of game are instantaneous.
Sep
2
comment Option on a dice game
ok, my answer is not relevant. I did not understood your question.
Sep
2
comment How to get an analytic result for option price based on this model?
Lehalle has the best answers. I followed a course by A. Popier wich was based on this book. These are famous teachers, you may find their slides online.
Sep
2
comment Option on a dice game
It make sense. For the general case you have to take $p(n|n_1)$ taking into account prior information. But the fact here that the dice is balanced imply that $p(n|n_1) = p(n)$.
Sep
2
answered Option on a dice game
Aug
25
comment Art market specificities
I am very interesed in the data colletcor. What langage do you use ?
Aug
25
revised Art market specificities
added 77 characters in body
Aug
24
asked Art market specificities
Aug
24
comment How does this follow from the separating hyperplane theorem?
I can't manage to find one (I would have linked to it if i could). W is a subspace of $R^K$ with the first coordinate set to 0 and the k-1 others free, so it is a subspace of dimention k-1. Imagine W as a plane touching in only one point some kind of a sphere. Theyre are not stricly separated here, meaning that we accept $x.e<=0$ or $x.e>=0$ for each sets. The touching point has to be on the separation (only way to satisfy bot equations). Then the orientation: if we choose another plane than W they would cross, the only way to separate the two object is to take W as the border.