Econometrics: bibliography - page 17
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see details in Leonid's topic - Quasi-arbitrage in short-term trading - read it - many questions are explained...
how's that? All quotes are non-stationary, i.e. have variable volatility.
That's right... so we take the average for the period for one leg - then for the second leg - and use the ratios to choose lots...
you're married for the first time :-) you must know the answers to such questions by now :-) - if you're not one of these ... theorists ... :-) no offence :-)
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and what kind of person there is... uneducated or not, that's your business... don't judge, and you won't be judged :-) keep your personalities to yourself ... like the basics of politeness you mentioned...
1 - nrp - one in whichinstruments (lots) are aligned in volatility...
2 - legs - slang name for instruments used in paired trading - unlike "hands" trades of different direction for the same instrument...
3 - as an example - share to a positive leg - in the expectation that the cumulative profit will reach +++ to the calculated level...
4 - Opening two positions out of the blue and calling it "paired trading" does not work :-) paired trading involves selection oftools + calculation (application) of levels (algorithms) of shares + formalizing the rules of entry-holding-closing positions :-)
Sorry to interrupt your fantasies...
1: A market-neutral portfolio can be anything. If you have a portfolio of options and you say it is delta-neutral it means that changes in the price of the underlying asset will have very little effect on the value of the portfolio. If you are talking about a beta-neutral portfolio - its returns are independent of market returns. The latter is just as often used for statarbitrage, and volatility alignment is your Nobel Prize bid.
3: In statarbitrage, the portfolio is divided market neutral for a reason, and you are proposing to break neutrality. Ha ha.
that's right... so we take the period average for one leg - then the second leg - and by ratios we choose the lots...
That's right... so we take the average for the period for one leg - then for the second leg - and use the ratios to choose lots...
you're married for the first time :-) you must know the answers to such questions by now :-) - if you're not one of these ... theorists ... :-) no offence :-)
---
what kind of person there is... uneducated or not, that's your business... Judge not and you shall not be judged :-) keep your personalities to yourself... like the basics of politeness you mentioned...
Let's get back to the topic of the thread - bibliography.
References to threads in any forum cannot serve to refute facts that have been generally accepted for 40 years.
If anyone has a refutation of established facts, I would be happy to read it.
...And you get a not market-neutral portfolio :P
Don't get too clever :-) your statarbitrage can do anything... but ours - Pair Trading - uses Feet - Baev's and Sell's - and they are aligned in terms of volatility :-)
Read Pairs Trading. Quantitative Methods and Analysis - everything is described there :-)
Let's go back to the topic of the branch - bibliography.
References to threads in any forum cannot serve to refute facts that have been generally accepted for 40 years.
If anyone has a refutation of established facts, I would be happy to read it.
You don't like the bibliography... I showed you five book covers - on the subject... i don't have links to download them.... so don't like it...
Don't get too clever :-) your statarbitrage can do anything... but ours - Pairs Trading - uses Feet - Baev's and Sell's - and they are equalized in volatility :-)
Read Pairs Trading. Quantitative Methods and Analysis - everything is described there :-)