Hi, thanks for your reply. I was just thinking in the markovian case, and wanted the theoretical result, without simulations, similar to what you have with the normal model.

I would like to know if you know of any literature regarding the Kelly criterion for an underlying that follows a normal mixture distribution. Thanks in advance.

Can anybody recommend a review-paper on the state of the art of the random-process models for price dynamics: GARCH, fat tails, power laws, non-linear processes, chaotic behaviour,... Something recent, if possible.

Sorry, I try to explain. Imagine you are long gamma optionality. You can play with the realized volatility against the implied one buying/selling the underlying.

Msperlin, do you think that those techniques would improve my life as gamma scalper (and P&L) trading around 10 times per day?

<t>1) My goal is intradaily gamma hedging: several times per day, specially if the market moves. Not really high frequancy, but closer.2) The other goal is estimating the "real" volatility compared to the implied one to enter such strategies such as buying a stranddle ATM to bet for the drift. Or to...

<t>I would like to know if any market practitioner finds interesting the calculation of volatility using tick-by-tick data. In my experience I find that taking into account estimators that take include extreme values, such as Parkinson´s, Garman-Klass, ... is interesting to estimate real volatility....

Besides, if you were cultivated enough, you would know that the origin of golf is quite humble: Scottish shepherds. Humble and brave men, neither old girlymen, nor snobbish

Sorry, fencing is for French girlymen.

you mean golf is posh, right?By the way, Collector: golf = Gentlemen Only, Ladies Forbidden

QuoteI will think about starting playing golf when I am 110 years old...A cheap excuse. If you do not learn as a child, you never will play if properly.Quoteit is a great sport for girlymen....Girlymen? Have you ever tried to do a full swing? You sweat, boy!

Too many quants in this forum...

Any golfers in Wilmott? Traders: it is relaxing, right? Quants: : sort of Montecarlo trials around the hole...

Besides you get only a monthly average. You can imagine, that that market moves in between.

Imho, Totem is just a just a tool for risk management. They want an independent source of prices. But market makers and traders should now the latest bid/offer in order to quote