sqrt(t) <-> sqrt(n) in Law of Large Numbersthat's all

Closed form <-> Excel

1c / signtake it or leave it

I can provide an english translation (1$/word).

ask to Pythagore

Use formula n°1 (DF = n-1)Don't use small sample...

QuoteOriginally posted by: dronaI am more interested in the way the opening auction is conducted in these order driven marketsPrice quotation := ArgMax [ Volume(price) ]

Put an order at bid+epsilon or ask-epsilon ...

<t>* You are analysing 1 particular path ...* "my theta gamma ratio" : it's roughly constant...(does not depend on T or K) otherwise there is a local arbitrage buolding a gamma+ / theta+ book.* "I require a daily move " : how much volat did you pay ?...* Assume gamma = constant and denote P(m) = gam...

<t>QuoteOriginally posted by: AaronIn addition to Madmax's excellent answer, I would add that the definition of arbitrage is a strategy with positive profit, no risk and no net investment.I would write : "Arbitrage is a strategy with positive pay-off, no risk and no net investment" or equivalently "...

QuoteOriginally posted by: theGreek...justified by higher returns?By higher returns, no. By higher risk-to-return figures, yes.

0.4 / 0.6 1000$x1000$

psi = daily %change breakeven = 1 day implied vol moves > psi -> P moves < psi -> Lyour psi = 50/4000 = 1.25% <-> 20% implied vol

Your psi=50 <-> implied vol you paid.

Taleb's nasty path...