http://www.utexas.edu/student/cmhc/RelaxationTape/
This kind of returns is not very uncommon also for some European exchanges (bull market) plus you have a lower currency risk as the quotes are in...
For moderate skew and kurtosis values you can try the Corrado-Su model. See attached excel file. Regards
Realy? I have never heard it. :D
Good day dummy-variable This is not possible. Either the trades had positive expectancy from the beginning or else you can’t make a...
No offence riskarb but you are answering to another question. No one claimed that expectancy isn’t model dependent. Most people just argued...
By adding to your initial position 'after' the favorable move you don't change the expectancy of the trade. The expectancy 'after' the favorable...
Not possible. The only thing close to it is Parrondo's Paradox....
:) I searched a little my e-library and I found this. Hope it will help you. (Odds level = probability that the contract will expire ITM).
Excuse me for interfering into your conversation but if someone wants to define mathematically if a market is trending why not just calculate...
Not exactly. When you try to figure a 20% barrier the tails of the distribution doesn’t come into play. Even with big skewness and kurtosis...
No, the formulas are working fine both in excel and in any basic compiler. In the zip file I have the implementation exe compiled with FreeBasic...
I hope this will help you …
The model assumes that the stock price S follows a geometric Brownian motion dS/S=m*dt + s*dz, and snorm is the cumulative normal distribution...
Also this is the basic code implementation of the formulas.... Regards Function snorm(z As Double) as double Dim pi as double...
Probability formulas in the attached pdf file...
Separate names with a comma.