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Tag Archives: BlackScholes
GARCH stands for Generalized Autoregressive Conditional Heteroskedasticity. To translate, skedasticity refers to the volatility or wiggle of a time series. Heteroskedastic means that the wiggle itself tends to wiggle. Conditional means the wiggle of the wiggle depends on something else. … Continue reading →
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Posted on October 2, 2010 by isomorphismes

Tagged algo trading, alo trading, autoregressive, BlackScholes, econometrics, GARCH, hedge funds, heroes, heteroskedasticity, HFT, math, mathematics, maths, options pricing, quant trading, stat arb, time series, vol arb, what does GARCH stand for?

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μ d𝓽 + σ dW𝓽, my #$$
μ dt + σ dWt, my #$$ The simplest model of a stock price movement is that the log of the price moves in a direction, plus some noisy drift (like adding a Gaussian W𝓽 at every timestep). Agustin Silvani … Continue reading →
Posted in Uncategorized

Tagged alo trading, BlackScholes, education, efficient markets hypothesis, EMH, fair market value, Federal Open Market Committee, finance quant, FMV, FOMC, hedge funds, interest rates, mark to market, math, mathematics, maths, options pricing, quant, quant finance, quant trading, quantitative finance, stat arb, vol arb

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This really puts my mind at ease as far as whether it’s an economically doomed strategy to pursue quantitative finance: The Efficient Markets Hypothesis is neither necessary nor sufficient for the Random Walk Hypothesis. Apparently the Cowles Commission was the … Continue reading →
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Posted on September 18, 2010 by isomorphismes

Tagged algo trading, BlackScholes, books, Brownian motion, econometrics, education, finance quant, financial economics, hedge funds, HFT, long reads, martingale, math, options pricing, quant, quant finance, quant trading, quantitative finance, random walk, random walk hypothesis, stat arb, stochastics, vol arb

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Bilinear maps and dual spaces Think of a function that takes two inputs and gives one output. The + operator is like that. 9+10=19 or, if you prefer to be computery about it, plus(9, 10) returns 19. So is the … Continue reading →
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Posted on September 16, 2010 by isomorphismes

Tagged bilinear, bilinear map, bilinear transformation, BlackScholes, education, function, inputs, klinear map, linear form, linear operator, love, math, mathematics, maths, matrix, multilinear map, operator theory, output, tensor

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Noarbitrage conditions are so often assumed in economics papers that they’ve come to seem magical. As I read more books by arbitrageurs, the obvious has become apparent: real people have the job of making financial markets equilibrate. Given that companies … Continue reading →
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Posted on September 11, 2010 by isomorphismes

Tagged algo trading, algorithmic trading, alo trading, arbitrageurs, BlackScholes, books, dark pools, direct market access, DMA, finance, finance quant, hedge funds, HFT, highfrequency trading, long reads, markets, options pricing, quant, quant finance, quant trading, quantitative finance, stat arb, tech, vol arb

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Should I buy this? (Source: http://www.amazon.com/gp/product/0821849743?ie=UTF8&tag=hiremebecauim20&linkCode=as2&camp=1789&creative=9325&creativeASIN=0821849743)
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Posted on September 3, 2010 by isomorphismes

Tagged algo trading, alo trading, BlackScholes, books, education, hedge funds, heroes, HFT, Lawrence C Evans, long reads, math, mathematics, maths, options pricing, PDE's, quant trading, science, Sobolev spaces, stat arb, vol arb

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“The advantage scientists bring into the [investing] game is less their mathematical and technical ability than their ability to think scientifically.”—James Simons, founder of Renaissance Technologies [Q]uants are forced to think deeply about many aspects of their strategy that are … Continue reading →
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Posted on September 1, 2010 by isomorphismes

Tagged algo trading, algorithmic trading, alo trading, BlackScholes, books, finance quant, hedge funds, HFT, long reads, options pricing, quant, quant finance, quant trading, quantitative finance, stat arb, tech, vol arb

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