Tag Archives: bet sizing

Baskets [of securities] form a vector space…. A portfolio is … an equivalence class of baskets containing assets in the same proportions.… [Since] parameters … depend on proportions … rather than … actual values,… portfolios form a projective space. Edward … Continue reading

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A One-Line Viewpoint on Trading

Given a time-series of one security’s price-train P[t], a low-frequency trader’s job (forgetting trading costs) is to find a step function S[t] to convolve against price changes P′[t] with the proviso that the other side to the trade exists. S[t] represents the bet … Continue reading

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