Let's say I have found a method that fairly accurately predicts whether implied volatility will be above or below future realized volatility (as...
The win rate doesn't matter -- it's the profit potential. If you can only trade this on one contract, it is worth a lot less than being...
The look-back period is really a question of short-term stability. Normally, I try to look back 10x the distance I am predicting stability...
Has anyone done any work with pairs trading close-end funds with corresponding liquid ETFs or a replicating index of the underlying components to...
User Stories ... you must be a software engineer at heart :D I am enjoying the read so far!
One of the things I found in my studies is that strict stop amounts, whether based on a given percentage or ATR, always hurts a trading strategy...
Except that p changes with time. Your probability of winning the game before the first flip is different than after the first flip -- the...
Quite simply because any curve can be fit perfectly with enough degrees of freedom -- but it doesn't mean that it can predict the next point with...
I typically use a short term simple moving average to identify highs and lows of a time-series. For example, use a 5-period simple moving...
Whatever language suits the project. There is no silver bullet. In my opinion, programming languages are just like spoken languages -- certain...
dtrader98, I am a bit confused about the chart you posted -- what is the left axis? Is your random walk just a GBM? Thanks Corey
Well, I haven't done enough research on the 'price/step' plain to confirm whether or not markets behave in a Gaussian manner -- but I think it is...
Very interesting discussion here. Some food for thought: If the market can be extremely accurately modeled using a random walk process that is...
As I said, the 'bailout' should never have been necessary. 'Too big to fail' is an awful side-effect of 'efficiencies of scale.' Smart...
The relationship is symbiotic. While the middle-man cannot exist without the two parties, the two parties would have a much harder time doing...
That is not an argument to the contrary.
Which is exactly why I said the bailouts were a tragedy. Unfortunately, economies of scale with 'too big to fail' make the economy 'more...
I think the worrying part here is how little the common public understands about the banking system. Investment banks make the economy tick....
And yet even an elementary understanding of statistics would allow you to acknowledge that there is absolutely nothing statistically significant...
Check out the money market funds. They are still significantly higher than usual. <a...
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