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Re:Collection of Jupyter notebooks for quantitative finance by hippich on Saturday November 23, 2019 @11:51PM (#21618434)
From my (a very layman) understanding, the price of the security is stochastic can be assumed only during a very short period, which does not include major moves. If this is correct, does it mean all these models are useful only for market makers earning money from the spread, or they can be useful for retail traders?
Re:Collection of Jupyter notebooks for quantitative finance by backlash875 on Sunday November 24, 2019 @05:54AM (#21619605)
There are other models that take into account jumps in the prices/market. As for retail traders using these models, I think it is not recommended and not practical.
Re:Collection of Jupyter notebooks for quantitative finance by hippich on Sunday November 24, 2019 @10:31PM (#21625224)
Any names/links/etc to learn more about such models?
Re:Collection of Jupyter notebooks for quantitative finance by backlash875 on Tuesday November 26, 2019 @02:41PM (#21641855)
The Heston model has stochastic volatility. You can add jumps to this: https://en.wikipedia.org/wiki/Stochastic_volatility_jump