I can tell you now that formula is nonsense and is complex valued if pnl is negative
I do not believe in any of your premises like skew reflects expected direction and none of your deductions follow from them using known rules of...
Well usually when you are in a trade you think that the return is superior to not being in it. Finding times when this is true looking backwards...
This is not a good idea I'd stay away from anything like that. There's no alpha it's all beta and in any case how would you do sizing and level to...
Yeah it's def legit but you need to trade a cdf on 1/S because you want jpyeur payour in jpy. Easeir to choose 3 currencies and 3 pairs like...
Why would the same thing that works on short timeframes work on long timeframes? Does that seem likely or has there ever been any evidence for it?
Your intuition is that it's best to optimize only a few parameters at once
r=sum 1/(t1-t0)*log(v(t1)/(v(t0))where the partition t(n) is the credits or debits. Usually they take it as 1/(t1-t0)*(v(t1)/v(t0)-1) where t1-10...
Hello, By delta means the forward vol surface conditional on a future spot has the same shape so the vol of a fixed strike moves around as it's...
I was never compelled about valuation or the risk neutral. Here's something interesting.The difference between the n th squares 1 apart is 2n+1 so...
I think the volatility might be more about the divergence, its transpose and messing up the measure. It may have very little to do with anything...
I think so that the translation and scaling of ze gamma function may still need some conditions on the volume along the path which may involve...
Sell short dates like 3 day and single stocks small notionals both ways around. They have no skew which only appears on the index averaging but I...
You would not get the same info at all. Correlation is not transitive so if X correlates to Y and Y to Z it does not imply X is correlated to Z.
I thought gravity was about mass not rotation. An electron in a higgs field is one thing an apple is another
The biblical literature asserts the existance of god but is silent on the phenomenological ontology so I see no contradiction.
How do you guys trade the vix? While the calendar is downward I buy the front month calendar (sell closest expiry) in evens since it decays 2 vols...
Are there any biblical scholars on here specializing in ontological proofs?
Excuse me Under no condition would you assign arbitrary notes first then analyse the derived signal. Check out transform methods for signal...
I don't see this often. I think its illegal, as you can only exercise at expiry, and suboptimal, because you would get more money by selling the...
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