Tag Archives: Black-Scholes

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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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

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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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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 computer-y about it, plus(9, 10) returns 19. So is the … Continue reading

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No-arbitrage 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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Should I buy this? (Source: http://www.amazon.com/gp/product/0821849743?ie=UTF8&tag=hiremebecauim-20&linkCode=as2&camp=1789&creative=9325&creativeASIN=0821849743)

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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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