I realize that this question is addressed to taowave, but allow me to address it. BS, with the appropriate vol param, returns good (not just...
FYI, there is an International Math Olympiad Silver Medalist posting in this thread. Also Putnam. He's still in finance, 30 years post, not...
cos(arccos(x)) just cancels each other, leaving x. Did I give you that formula? If so I made a mistake. Does no harm though as c^2 = a^2 + b^2 -...
"Castle Ridge's chief scientific officer, Alex Bogdan...." Alex, in case no one noticed, is ET's own Maestro. As Destriero pointed out in an...
@newwurldmn is correct, Quanto should be banned. Not because his posts are particularly offensive, but because they are total codswallop. And they...
SPY skew minus SPX skew Granger causes VIX. [ATTACH] Skew Metric is calculated from snapshot data 15min pre-close, so there is considerable...
Thanks!
It depends on your utility function. Lintner and Markowitz proved that for quadratic utility, Sharpe is all you need. For other utility...
a) is the price of a double-no-touch, formulas available online or in books (e.g. Haug) b) and c) are the ratios of two binaries, converted to...
Then cut and paste it here, for those of us unwilling to pay the $280 sub price.
1) Read Lütkepohl 's "New Introduction to Multiple Time Series Analysis," especially the chapter on VECM. Know that chapter backwards and...
I'm impressed! Protter is a heavyweight! I missed this post at the time, only just saw it when referencing this thread in pm's. This is a good...
None of the above choices. It's inherent in free exchange markets. Chakraborti, 2005, "Yard Sale Model." And research along the same lines...
I'll pm you tomorrow with the link and a little color/advice on it.
Then you path forward is simple: Find. An. Edge. Many edges have been posted here on ET. You just have to pay attention. Someone posted a...
Congratulations, you may be the single most stubbornly ignorant poster on this site! From your inception as botpro, through TheCoder and...
File is 135mb zipped. Too large to attach to a post. PM me an email address and I will send via email.
I have this data back to 20170811, what date range are you interested in? Let me know date range and desired fields and I will post it here....
He's laid it all out for you, in astonishingly clear detail. Try taking it one sentence or phrase at a time. Understand that phrase fully --...
Good catch! You left out a few tells: -- more like than posts. Xela had the uncanny ability to regurgitate trading platitudes in a way that...
Separate names with a comma.