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...
If anyone is interested, XTX refers to X'X (transpose(X) * X) or the SSCP (sum squares cross product) matrix used in Ordinary Least Squares (OLS)...
Last I checked, Rentec was running > $100 billion, probably more by now. How much AUM are you, after trolling for MM clients here on ET and...
Probably. Arb opportunities abound in dealer (OTC) markets like FX, especially in "times of turbulence." If you take more than an isolated handful...
I have found the two attached papers to be very useful. In the regression context this means that you are likely to be much more successful when...
I own* both books, and have read through the latter pretty thoroughly. In fact I recommended it here on ET in this thread: Another “what’s your...
A few other suggestions: Asset Pricing -- Cochrane Continuous Time Finance -- Merton Into to Math Finance, Discrete Time Models -- Pliska These...
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