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by GuitarTrader
May 14th, 2014, 11:44 am
Forum: Trading Forum
Topic: about the option market making trading-implied volatility
Replies: 3
Views: 5669

about the option market making trading-implied volatility

Dear all, When doing the option market making, what is frequency that we need to adjust the implied volatility surface for quoting ? General Speaking for US market, or the European Market Many thanks.
by GuitarTrader
May 8th, 2014, 6:53 am
Forum: Student Forum
Topic: About the implied Volatility fitting
Replies: 8
Views: 5336

About the implied Volatility fitting

<r>The heston model:<URL url="http://en.wikipedia.org/wiki/Heston_model%CE%BE">http://en.wikipedia.org/wiki/Heston_modelξ</URL> is the vol of vol,the instantaneous variance (hence volatility) is a stochastic process, yes, it doesn't need to input the vol of vol ?QuoteOriginally posted by: secret2Quo...
by GuitarTrader
April 30th, 2014, 4:35 am
Forum: Student Forum
Topic: About the implied Volatility fitting
Replies: 8
Views: 5336

About the implied Volatility fitting

<t>QuoteOriginally posted by: secret2Take Heston as an example. You have the closed form Heston option price formula. You have market observed prices. You do the numerical fitting, it gives you the Heston parameters. Where has B-S vol come into play?yes, taken heston as an example, it has the closed...
by GuitarTrader
April 25th, 2014, 5:45 am
Forum: Student Forum
Topic: About the implied Volatility fitting
Replies: 8
Views: 5336

About the implied Volatility fitting

<t>but for fitting my favorite SVI model, I need some volatility data ? how Can I get it , if I don't use the BS model?QuoteOriginally posted by: secret2"Implied vol" is nothing but a convoluted way to quote market price. You are not really "using" B-S model in your case. You might have skipped usin...
by GuitarTrader
April 24th, 2014, 5:22 am
Forum: Student Forum
Topic: About the implied Volatility fitting
Replies: 8
Views: 5336

About the implied Volatility fitting

<t>Dear all. For an option market maker, I need to fit an implied volatility surface. If I well understand, the procedure is like this: 1.using the BS(inverse) to calculate the implied volatility 2.using the implied volatility data to fit a model, for example Gatheral's SVI model. 3.using the model ...
by GuitarTrader
April 1st, 2014, 12:07 am
Forum: Trading Forum
Topic: about the put Call parity arbitrage
Replies: 5
Views: 5811

about the put Call parity arbitrage

<t>thanks for your reply.Another question about the P/C parity.is the opportunity for the P/C parity arbitrage and the volatility arbitrage can co-exist at the same time ?If I want to fit the Gatheral's SVI model for the implied vol, the P/C parity must satisify at first? if it doesn't satisify, the...
by GuitarTrader
March 27th, 2014, 11:31 pm
Forum: Trading Forum
Topic: about the put Call parity arbitrage
Replies: 5
Views: 5811

about the put Call parity arbitrage

I mean the same maturity for the option and the future. Thanks
by GuitarTrader
March 27th, 2014, 7:31 am
Forum: Trading Forum
Topic: about the put Call parity arbitrage
Replies: 5
Views: 5811

about the put Call parity arbitrage

<t>hello all, For the equity index option put call arbitrage, I define a spd=(F-K)-(C+D-P) ---------(*) future and the option has the same maturity. F: index future price K: strike price of the index option C:Call price Put price D: present value of the discrete dividend of the component of the inde...
by GuitarTrader
March 4th, 2014, 2:14 am
Forum: General Forum
Topic: about the unconditional variance of th EGARCH(1,1) model
Replies: 2
Views: 5214

about the unconditional variance of th EGARCH(1,1) model

<r>I need an EGARH expert.how to calculate the unconditional variance of th EGARCH(1,1) model..I find a reference in a matlab website, but I think it's wrong. <URL url="http://www.mathworks.cn/cn/help/econ/assess-egarch-forecast-bias-through-simulations.htmlany"><LINK_TEXT text="http://www.mathworks...
by GuitarTrader
October 11th, 2013, 4:15 am
Forum: Trading Forum
Topic: about the pairs trading for three stocks
Replies: 6
Views: 8087

about the pairs trading for three stocks

any detail please ?
by GuitarTrader
August 11th, 2013, 11:39 am
Forum: Trading Forum
Topic: about the pairs trading for three stocks
Replies: 6
Views: 8087

about the pairs trading for three stocks

<t>Dear all, The pair trading for two stock is easy to understand. For instance, the two stocks have very high correlation(they rise and fall together), so we can do the pair trading for these two stocks. But if I have three stocks in the same sector, and they have very high correlation, how can I d...
by GuitarTrader
June 28th, 2013, 5:20 am
Forum: Student Forum
Topic: about the bact test and the pre-adjust stock price
Replies: 2
Views: 6944

about the bact test and the pre-adjust stock price

<t>Dear all, When we do the back test for a alpha strategy(stock portfolio), we must use the pre-adjust stock price account for the cash dividend? If we use the pre-adjust price, it implies the re-investment with the cash dividend. But I think it is the best estimation. any idea ? Thanks </t>
by GuitarTrader
June 12th, 2013, 6:07 am
Forum: Trading Forum
Topic: Pairs trading in futures.
Replies: 7
Views: 9201

Pairs trading in futures.

hi, how to stitch together a time series of continuous futures prices?any common method
by GuitarTrader
June 10th, 2013, 1:24 am
Forum: Trading Forum
Topic: about the statistical arbitrage and the mean reverting process
Replies: 1
Views: 8440

about the statistical arbitrage and the mean reverting process

<t>Hello everyone, Does the statistical arbitrage and the mean reverting process are the same thing? I mean If I want to do the statistical arbitrage for some underlying, I must find a mean reverting process ? If the process isn't a mean reverting process, I can not do the statistical arbitrage? Man...
by GuitarTrader
March 31st, 2013, 7:22 am
Forum: Student Forum
Topic: How does the K-means use in the trading
Replies: 1
Views: 8011

How does the K-means use in the trading

Dear all, I have heard of this words K-means many times, How does it use in the trading? anybody can give an example ? Many thanks
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