Oct

7

If you're working a limit and miss the fill by 1//2 a point, and you then go to market when it's 5 away so to get the position on, the price will hit your original order limit. And of course if you don't go to market, you'll miss the trade of the year. You can put your lunch money on it.

Ralph Vince adds: 

This comports to one of a family of distributions named after Maurice Tweedie , who classified a group of distributions, incl. Pareto, as comporting to:

Variance(x) = a * ExpectedValue(x)^p, where the constants a>0 and p>=0

The various distributions that are classically known occur at certain values for p (e.g. p==2 for Pareto), which is of no consequence but what IS of consequence is that this basic form is where we see so much occur in so many events market-related, insurance-related, weather-related, etc.


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  1. david higgs on October 7, 2014 2:00 pm

    How true! I’d like to know who’s really at the end of those blinking numbers on my computer screen?

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