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Continuous prediction vs Event-based predictions

The discrete thing can be understood as using the continuous model only when some criteria is met. The relative advantage depends on the correctness of this criteria - how well does it capture the ...
Arshdeep's user avatar
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1 vote

High Frequency Market Making When Short Selling Is Prohibited

good point and two answers if you are an official market maker, you get a waiver and you can short sell to quote at the ask; if not, you can borrow the stocks you want to make the market on. There ...
lehalle's user avatar
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1 vote

Optimal Price Metric for High-Frequency Volatility: Executed Price, Mid Price, or Weighted Mid Price?

You probably ask the question because you noticed that is you take the traded price to compute a naive volatility estimate on the all the trades, this (apparent) volatility is very high. It is due to ...
lehalle's user avatar
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