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by ingber
April 17th, 2019, 5:05 pm
Forum: Technical Forum
Topic: Developing bid-ask probabilities for high-frequency trading
Replies: 0
Views: 7689

Developing bid-ask probabilities for high-frequency trading

I have a preprint available at https://www.ingber.com/markets19_bid_ask_prob.pdf Abstract: Methods of path integrals are used to develop multi-factor probabilities of bid-ask variables for use in high-frequency trading (HFT).  Adaptive Simulated Annealing (ASA) is used to fit the nonlinear forms so ...
by ingber
September 28th, 2011, 2:02 pm
Forum: Student Forum
Topic: Heston Calibration Tips
Replies: 16
Views: 196186

Heston Calibration Tips

<r>Hi. I'm the author of ASA, available at no charge from several locations:<URL url="http://www.ingber.comhttp//alumni.caltech.edu/~ingberhttp://asa-caltech.sourceforge.nethttps://code.google.com/p/adaptive-simulated-annealingSection"><LINK_TEXT text="http://www.ingber.comhttp://alumni.calt ... ing...