<t>Eurodollar (and treasury) futures move several bips intraday (historically, daily avg close-to-close moves are anywhere between 2-15 bips/day), so IF you can work into a trade as Ziggy describes and have an edge on average decently larger than 0.5 bips (let's say 1 bip) you can trade it. One diff...

<t>I meant to say "measurable" sets, not open sets, as Omega doesn't have to have any topology per se... To clarify some points: what RDK (and I too) meant is: P-almost surely X_n<a_n for sufficiently large n, where n itself depends on omega\in Omega. Thus it is not (necessarily) true that there is ...

Let me respond a little later when I have time.

<t>Solution for the infinite case: Note that my first solution for the finite case defines dQ_i/dP as a fininte "step" function, equal to 1/i on A_i, let's call this density f_i. By almost sure finiteness of X_i, there exists a constant a_i such that P(X_i>a_i)<1/2^i for all i>0. Denote B_i={X_i>a_i...

<t>For finitely many here is a simple solution. First let's find this measure for one random variable X, passing to positive/negative part of X, we can assume WLOG that X is nonnegative, and since probability space is of finite measure, we can further assume X>=1 (this is just for convenience...). T...

S=54, b=6 (errors in the previous one...), anyway, this a simple calculus question, not a real teaser

S=81*sqrt(27)/16 (b=sqrt(27))... modulo arithmetic errors, what is so interesting about this problem anyway?

<t>Why don't you tell us what it exactly predicts? Tomorrow's spot will go up or down compared to what "open"? If your prediction says tomorrow the spot price at 2pm will be up/down compared to spot price at 7am (tomorrow), then you just backtest this for as long as you have data and I would be very...

If it is true "on average" I would say it's really good and should make money (but this will be a highly volatile strategy with possibly long stretches of loser/winners).

I have heard 5-15% of PL as compensation range (so, if the hedge fund has 20% performance fee, it would be 25-75% of HF revenue). This is when capital is from client. When it's proprietary, you may see higher numbers. Let's see what experts have to say about this.

<r>Why don't you look at <URL url="http://www.vni.com/products/imsl/cSharp/overview.php">http://www.vni.com/products/imsl/cSharp/overview.php</URL>. Their code is fast and covers a lot (lot more than extreme optimization library or any other C# library I looked at relatively recently) but their lice...

Pack and go, provided the other offers are comparable in terms of job duties. If you don't go they will be ripping you off forever...

<t>Thanks for suggestions Nicolain, I asked myself those questions too. The strategy seems to have phases where it works better than 60% and others where it's worse... Unfortunately, I can't determine exactly what makes it work (other than the original idea included in the constraction of the signal...

Kelly is not a good idea as it makes things volatile even if you have a fixed probability of success (which I don't).