In a risk adjusted sense, yes, your expectated terminal profit over the stdev of that profit will be higher. Your expected profit, before...
Mistake. Mean will be to right of median. Distro is skewed right with long fat right tail.
Infinite % return on bp effect! BP effect might fluctuate during the term of the arb, I am not sure you can count on it staying strictly...
You have it exactly backwards, hedge at IV for minimal daily marked-to-market pnl sd. As explained in the slide-show you linked to. Did you...
TLDR version: first-hitting-time-in-years = log(K / S)^2 / (v * 0.6745)^2 That is an approximation of the median hitting time for GBM, the mean...
Quiz: Probability and ITM?
He didn't mention 25D, but if you want to normalize the 25D RR, express it as a ratio instead of a difference. That is PutVol / CallVol* instead...
As of Friday 20220902, implied probability of default on the 5yr benchmark CDS was ~73%, 5yr CDS itself trading around 1492 bps
That's the percent of Americans who live in households where at least one of the owners live on-site. Since not all household members are owners,...
That's 3066-3074. Not 3086 Cite by doi: 10.1210/jc.2007-2695 or get it right. Total 21 subjects. Like fitting a market forecast model on the...
M.W. = AsiaProp ... volpunter... DiceAreCast. Not originally Canadian. Probably German, spent 10 of the last 12 years in Hong Kong, now living on...
Welcome back SPX Options Trader. You managed to stay away for eight months. For someone with your lack of impulse control, that is quite an...
RE is financed at the portfolio or firm levels, not via individual mortgages. These properties are typically bought in bulk, not one at a time...
Over-fitting may not be as bad as we thought it was: https://www.stat.berkeley.edu/~bartlett/talks/201908Microsoft.pdf Bartlett is one of the...
Your view appears to be that the IV of ETF A (the high vol one) is too high relative to the IV of ETF B (the low vol one). This may be the case,...
I've PM'd the information to you. Posting undocumented api calls on a public forum sometimes causes api access to be restricted.
With sub-millisecond order arrival times, LOB's are effectively Walrasian Continuous-Time Double Auctions. Try googling the term.
ETFG on Quandl (now part of NASDAQ). Reasonably priced, I think about $40 per month via quandle REST API. FirstBridge Data more expensively....
He's your former professor at CMU, right? It's a good book. IIRC it was published in 2005 or 2006. I'd say it's held up pretty well. Just not...
A number of posters have pointed out that pricing options off anything other than the risk-free rate would allow arbitrage, but I don't think...
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