Lets take a quick look at an option. ROKU Apr25 58 strike call. Spot = 58.1 Strike = 58 R = .04 Current Market Ivol = 90% DTE = 14 dividends = 0...
sure could but that would just give me the implied beta. Estimated Cor x (NVDA Ivol/QQQ Ivol). But id like to estimate beta myself to see how my...
Kevin, I need to forecast the beta of a stock over the next 30 days relative to the index. Is this the industry standard right now...
Ill respond later this week, the model actually got me into long APP Dec/Feb calendar and i havent been able to focus on code haha.
Kevin, after thinking a bit more about the data i added a new feature which is nonEvol - spyATMiv to get sort of the idiosyncratic vol of the...
Thanks for taking the time Kevin. I think it makes sense to set the intercept to 0 in this case as when the data points are 0 we would expect the...
Why is it when i set intercept to 0, my R^2 shoots up from .65 to .99? Looking at the residuals of the model lm(DV ~ 0 +., data = ETdata). There...
@Kevin Schmit here is the new data frame. I've PM'd you the column headers. Note* the 2 dataframes are not for the same ticker. I couldnt recall...
feature1 x feature2 is equal to the target so that is why r^2 is practically 1. I put feature 1 in there as a shrinkage factor ie if our forecast...
Hello all, Im looking for some help in forecasting. I've created a dataset that is a snapshot of historical data over the past 9 years. I will be...
Do you recall if the orders were placed during wide spreads or if the market would briefly trade down to your price on a tight market?
Did you any in house code or execution software outside of your broker when executing orders? If yes, could you elaborate.
Thanks for explaining that kevin. If I am using a second tier broker like questrade for example, will they have a different routing system than...
The ibkr software not showing any volume even on individual legs. I cant get the volume on the screen for some reason. I woud think if they were...
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