I actually think it's a bit better, or maybe I'm just participating in a smarter way. I've had a few substantive chats recently, where people...
I can't speak for US equities, but for CME IQ Feed has worked for me for years for L1. Great match to institutional benchmarks. No, I wouldn't...
My choice of words wasn't helping. Sorry, I've made this more confusing than it needs to be. Let's start with an image. Looking at the previous...
"Increasing the risk aversion parameter (smaller Kelly fraction) would reduce the curvature of the risk-averse utility curve." My apologies, this...
Have you benchmarked the data? What did you find? Thx.
You're welcome. Regarding your examples, think of utility (e.g. Kelly) as _your_ risk preference. The examples you've described are _your_ risk...
Has algoseek improved? I checked it out a few years ago and thought the CME Level 1 data was pretty low quality. IIRC, > 70% of the quote...
The math and assumptions are critical when working with utility functions like the Kelly Criterion, but I think I can answer your questions by...
As a corollary, something rvince99 wrote earlier in this thread caught my attention. I haven't actually worked this out, but given logarithmic...
Maybe start with Kelly's original paper and/or just think through what Kelly proposed: maximize expected logarithmic utility given known and...
You might like what Aaron Brown has to say about 'risk ignition' in his book "Red-Blooded Risk'. He talks about maximizing position size when you...
Here's one of Vince's papers on the subject. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2577782 I don't think Vince's argument is that...
Update: I spoke with the owner of QuantTerminal (QT) yesterday after testing a demo version of the product. I liked what Daniel had to say and I...
First time I've seen anyone mention Chiang's book. I liked that one, had it in grad school.
ARPM is first-rate. I attended their week-long on-site program a few years ago. Risk probably employs more quants than the other areas. This is...
P.M. me. I can point out good quant fora, programming libraries, lit reviews, books, etc.
See p.m.
Your point is a good one, but what happens with the SEC will likely hinge on 'intent'. That's something we don't fully understand yet. Was there...
The way I understand it sovereign debt with negative yields is held for its risk-weighting and then it's rehypothecated. Note, I'm not an expert...
capitalmarkets, Thx for posting all of this. I hadn't heard of IQBroker. I don't use ML so that part isn't important to me. I don't have any...
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