3
votes
I am having difficulties calculating returns correctly
There is a common practitioner mistake when creating long/short strategies, thinking that you can create wealth out of nothing, hence, having an infinite return.
In practice, you need money to start ...
1
vote
Accepted
In rateslib curve construction, how to control the jump size in step daily forward (log_linear), when i have 2 nodes on 1 instrument?
If you have a copy of my book: "Pricing and Trading Interest Rate Derivatives" (2022, 3rd edition) there is a chapter called 12. Advanced Curve Building, and within that a section, 12.6 A ...
- 11.2k
1
vote
I am having difficulties calculating returns correctly
In designing a strategy like this there are two important decisions to be made, that are distinct (though inter-related).
The first question is Position Sizing. When you open a pair trade how much of ...
- 11.6k
1
vote
Algorithm for Identifying NDF FX Trades as Buy or Sell
I had a look at the data and produced this chart:
When you see all these trades it is clearly difficult to know if a buyer or a seller initiated it.
moreover, I had a look at the columns
Event type: ...
- 12.5k
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