point

 

 Remember me

Register  |   Lost password?


Introduction to QuantLib Development - Intensive 3-day Training Course - September 10-12th, 2018 - Download Registration Form Here

 

G. Charles-Cadogan's Blog

REVISION: Commutative Prospect Theory and Confident Behaviour Under Risk and Uncertainty in Psychological Spac

May 5, 2012 Comments (0)

This paper contributes to the literature on decision making under risk and uncertainty by attaching a weighted probability space to outcome space. Thereby inducing a commutative map of behavior on prospect theory's function space. We endow that space with a psychological metric space, and a time dependent probability density function with kurtosis controlled by a subject's strength of preference. Several new results are derived on that behavioral topological apparatus. First, we prove that gambl

Update: Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crash

May 5, 2012 Comments (0)

In this paper we present a simple closed form stock price formula, which captures empirical regularities of high frequency trading (HFT), based on two factors: (1) exposure to hedge factor; and (2) hedge factor volatility. Thus, the parsimonious formula is not based on fundamental valuation. For applications, we first show that in tandem with a cost of carry model, the price of variance futures relative to realized volatility serves double duty as a dynamic hedge ratio, and the model supports...

REVISION: Commutative Prospect Theory and Confident Behaviour Under Risk and Uncertainty in Psychological Spac

May 5, 2012 Comments (0)

This paper contributes to the literature on decision making under risk and uncertainty by attaching a weighted probability space to outcome space. Thereby inducing a commutative map of behavior on prospect theory's function space. We endow that space with a psychological metric space, and a time dependent probability density function with kurtosis controlled by a subject's strength of preference. Several new results are derived on that behavioral topological apparatus. First, we prove that gambl

New: Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crash

May 5, 2012 Comments (0)

In this paper we present a simple closed form stock price formula, which captures empirical regularities of high frequency trading (HFT), based on two factors: (1) exposure to hedge factor; and (2) hedge factor volatility. Thus, the parsimonious formula is not based on fundamental valuation. For applications, we first show that in tandem with a cost of carry model, the price of variance futures relative to realized volatility serves double duty as a dynamic hedge ratio, and the model supports m

Update: Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crash

May 5, 2012 Comments (0)

In this paper we present a simple closed form stock price formula, which captures empirical regularities of high frequency trading (HFT), based on two factors: (1) exposure to hedge factor; and (2) hedge factor volatility. Thus, the parsimonious formula is not based on fundamental valuation. For applications, we first show that in tandem with a cost of carry model, it allows us to use exposure to and volatility of E-mini contracts to estimate dynamic hedge ratios, and mark-to-market capital...

New: Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crash

May 5, 2012 Comments (0)

In this paper we present a simple closed form stock price formula, which captures empirical regularities of high frequency trading (HFT), based on two factors: (1) exposure to hedge factor; and (2) hedge factor volatility. Thus, the parsimonious formula is not based on fundamental valuation. For applications, we first show that in tandem with a cost of carry model, it allows us to use exposure to and volatility of E-mini contracts to estimate dynamic hedge ratios, and mark-to-market capital gai

New: Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crash

May 5, 2012 Comments (0)

In this paper we present a simple closed form stock price formula, which captures empirical regularities of high frequency trading (HFT), based on two factors: (1) exposure to hedge factor; and (2) hedge factor volatility. Thus, the parsimonious formula is not based on fundamental valuation. For instance, it allows us to use exposure to and volatility of E-mini contracts to predict movements in an underlying index. For application, we first show that for given exposure to hedge factor, and suit

REVISION: The Source of Uncertainty in Probabilistic Preferences Over Gambles

May 5, 2012 Comments (0)

Probabilistic preference models predict that a subject makes different choices with different probabilities when repeatedly faced with the same or similar situation(s). However, they do not explain why choice is probabilistic. This paper provides an explanation. First, we prove that a gamble is a statistical ensemble or sample function of a random field with canonical Luce-Gibbs measure. And we employ entropy measures of uncertainty to characterize the underlying function space. Second, we find

New: Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crash

May 5, 2012 Comments (0)

In this paper we present a simple closed form stock price formula, which captures empirical regularities of high frequency trading (HFT), based on two factors: (1) exposure to hedge factor; and (2) hedge factor volatility. Thus, the parsimonious formula is not based on fundamental valuation. For instance, it allows us to use exposure to and volatility of E-mini contracts to predict movements in an underlying index. For application, we first show that for given exposure to hedge factor, and suit

New: Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crash

May 5, 2012 Comments (0)

In this paper we present a simple closed form stock price formula, which captures empirical regularities of high frequency trading (HFT), based on two factors: (1) exposure to hedge factor; and (2) hedge factor volatility. For instance, this formula allows us to use exposure to and volatility of E-mini contracts to predict movements in an underlying index. So the stock price is not determined by fundamental valuation. The parsimonious formula, derived from synthesis of recent continuous time HF