Tag Archives: financial economics

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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A traditional approach to the principal-agent problems of the financial meltdown might be: If we give depositors lots of information, they’ll move their deposits to the strongest bank and then banks will have the incentive to be strong, and then … 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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