<t>If the volatility is distributed Inverse Gamma (IGa) then the returns process will be Student-t. You can then simulate the price process in the usual manner depending on the stochastic volatility (SV) model you fitted. Options should still be possible to price under this framework provided the as...

<t>"Can greater profits be realized by delta hedging in non equally spaced intervals?"yes, if you can do it better than the majority of other market participants - this is not trivial though. Loosely speaking they are likely to increase their realized vol (on equities at least) by hedging more frequ...

You could assume the returns are normally distributed (or whatever you believe they are) and back out the VaR (which would be using the same distribution) given your targeted volatility?Of course if you believe your returns are student-t, your target return volatility doesn't mean so much...

<r>QuoteOriginally posted by: BornToBeTraderHave you ever come across a problem where your system just drops and fails due to RAM errors. IS ECC memory suppose to be any better/faster?I have had a non ECC memory live trading computer crash before it was supposed to be trading; it was a converted des...

<t>"So trading every 20 seconds is not HF??"we can trade up to every 20s, but that's about as fast as we ever get - usually we are doing much less than this. There seems to be a lot of different interpretations of what high frequency means, and I have read about algos trading at significantly higher...

<t>On average we do 5-15min forecasts and the closest we ever tend to trade is about every 20s or so (so not *high* frequency). We are using dual X55** Xeon chips (which use ECC memory) for each computer. The main algorithm is easy to parallelize, hence the two processor choice - if the algorithm di...