Tag Archives: convolution

The Scenic Route

Years ago some friends and I took a roadtrip around the southeastern USA—Kentucky, Tennessee, Alabama, Georgia, and South Carolina. The scenery was beautiful in the Great Smoky Mountains. But for some reason, the friend who had rented the car had … 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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