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AlmostEvil665


Total Posts: 2
Joined: Dec 2016
 
Posted: 2018-11-16 18:04
Hello guys, I'm new here at NP.

(Talking about stocks, FX)

There is something that I didn't grasp until now. If I fit a distribution of the return series, how can I exploit it distribution?

Even talking about memorylessness, like a log-return, how it impact this exploit?

As I see, if I know the distribution, I can use VaR and CVaR to calculate risk. But, I think as I read this forum, you guys use for more than that.

Some guidance? I accept anything.

Thank you.

FDAXHunter
Founding Member

Total Posts: 8371
Joined: Mar 2004
 
Posted: 2018-11-17 22:34
The type of random distributions found in finance are hard to exploit.
Look up “Shannon’s Demon” and “volatility pumping”.

The Figs Protocol.

AlmostEvil665


Total Posts: 2
Joined: Dec 2016
 
Posted: 2018-11-21 18:31
Thank you for your answer. Big Smile

For someone who are intresting in the subject:

http://www.snifferquant.com/gyantal/Incode/papers/Volatility%20Harvesting_JWM_Fall_2012%20OCR.pdf

ronin


Total Posts: 401
Joined: May 2006
 
Posted: 2018-11-27 12:27
Yes.

The problem with scalping the convexity of the lognormal distribution around zero is that stuff that is lognormal isn't near zero, and stuff that is near zero isn't lognormal.

Otherwise, it's great.

"There is a SIX am?" -- Arthur
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