Federico Caccia
  • Member for 3 years, 11 months
  • Last seen more than 1 year ago
Correlation between prices or returns?
2 votes

There is a good explanation here. Summarizing, what we are computing with Pearson correlations are relations between deviations respect to the means, which is no meaningful using prices. So, you ...

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Avellaneda -Stoikov market making model
0 votes

The reservation price is highly influenced by the election of the parameter T isn't it? So, if T is high enough, each step in which q is not zero, the reservation price could be too high (or too low), ...

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