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at HF it is probably more important to guess the direction (up/down) than actual prices. For that you will have a lot of noise and financial time series have low signal to noise ratio. that is why classifiers (up/down) are the best practice in HF, not punctual predictors of prices. This has also to do with the computational complexity required to forecast a ...


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I would argue, taking a note from John von Neumman, that quantitative finance lacks rigorous underpinnings. Von Neumann warned in 1953 that many things that look like proofs in economics and finance depended on problems that were yet to be solved in mathematics, and where economists were assuming solutions into existence. As the problems were solved in math,...


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Optimal stochastic control. Hamilton jacobi bellman


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Hah! There is no such thing as the “rigorous mathematical underpinning” of high frequency trading - because HFT, like all trading, is not primarily a mathematical endeavour. It’s true that many people who work in HFT have a mathematical background, but that’s because the tools of applied math and statistics are useful when analysing the large amounts of ...


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