Timeline for Is there any straightforward way to substitute for Gaussian/Brownian assumptions in financial mathematics?
Current License: CC BY-SA 2.5
17 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Mar 1, 2013 at 23:00 | answer | added | ClassicalPhysicist | timeline score: -2 | |
| Mar 1, 2013 at 18:23 | answer | added | abo | timeline score: 1 | |
| Mar 1, 2013 at 16:58 | answer | added | mt_christo | timeline score: 0 | |
| Jan 19, 2012 at 17:51 | answer | added | Hao Zhang | timeline score: 0 | |
| Jan 19, 2012 at 14:03 | answer | added | Quant | timeline score: 3 | |
| Feb 2, 2011 at 13:37 | answer | added | Deane Yang | timeline score: 5 | |
| Feb 2, 2011 at 9:26 | answer | added | The Bridge | timeline score: 0 | |
| Feb 1, 2011 at 21:34 | comment | added | Jeff Harvey | @Igor: No problem, I probably shouldn't have said anything since my knowledge was second hand. I agree with you in general about the superiority of open research but given the amount of money involved and the hundreds of math and physics Ph.D's employed at places like Renaissance there may be some exceptions to your general observation. | |
| Feb 1, 2011 at 21:20 | comment | added | Igor Rivin | @Jeff: You don't need to defer to me, I am just reporting on my experience (there might be someone at Citadel who has figured everything out, and not published, who can say) -- the general observation is that proprietary research is vastly inferior to open research, partly because it is not open, and partly because it has different goals. As for my snapping at you, apologies, but your comment sounded like: I know something, but won't tell you, nyah, nyah. | |
| Feb 1, 2011 at 21:12 | comment | added | Jeff Harvey | @Igor Rivin: I just made a comment, not an answer. If my comment were true I can imagine it being useful to some to know there are answers that are not in the open literature. My comment was based on statements to me from people I know who have worked in options trading for 20+ years. However I don't have any direct knowledge that my statement is correct and from your comment it sounds like you do, so I defer to your not inconsiderable knowledge. | |
| Feb 1, 2011 at 20:57 | comment | added | Igor Rivin | @Jeff Harvey: How is your answer useful? Aside from being useless, it is also incorrect: OP is asking for a mathematical theory useful for heavy tails, not practical trading suggestions. To the best of my (not inconsiderable) knowledge, there is no better proprietary theory than what is published, though there are plenty of proprietary kludges. | |
| Feb 1, 2011 at 20:30 | answer | added | arsmath | timeline score: 4 | |
| Feb 1, 2011 at 19:35 | comment | added | Jeff Harvey | The best answers are not in the open literature. | |
| Feb 1, 2011 at 18:24 | answer | added | Simon Lyons | timeline score: 6 | |
| Feb 1, 2011 at 18:17 | answer | added | Igor Rivin | timeline score: 3 | |
| Feb 1, 2011 at 18:16 | comment | added | Shai Covo | books.google.co.il/… -- see the Contents. | |
| Feb 1, 2011 at 18:01 | history | asked | DoubleJay | CC BY-SA 2.5 |