Any info on Knight Electronic Trading Group? Any idea how it compares with other HF groups on the street?

<t>Thanks for the answer, I will check out the book you recommended. Also, when I meant GARCH has an MA component, I was referring to the fact that GARCH is equivalent to ARMA for the squares. In the meantime, to simplify my question, let's say we have MA(1) model: X(t) = W(t) + q * W(t-1). We find ...

<t>Hi, Question about prediction from (non)linear models. How does the prediction work for MA models? Also, is it possible to predict future values just by knowing parameters and recent past, or does one need the whole history?More precisely, for AR(p) models, one finds coefficients with Yule-Walker...

<t>Traden4Alpha,Thanks for the answer. I agree with your points. For 2., assume the strategy is better than buy and hold. For 1., assume we perform an out-of-sample once we set the time.The goal is not to replace out-of-sample validation, but rather to determine which of the times T to run out-of-sa...

<t>Let's say we have a simple trading rule, its specifics don't matter (e.g. buy on day 1 if previous overnight gapped lower and viceversa). The plan is to enter the trade at time T of day 1 and exit the trade at time T on day 2. After determining optimal time T (let's say by performing the historic...

Thanks a lot! The answer was very helpful, I really appreciate your time. It also made me read about some of the concepts you mentioned (reflection principle etc.) of which I was not aware.Thanks again!

Thank for the quick reply!Could you direct me to an on-line source where I could find out more about it? The solution you mentioned is not immediately clear to me.Thanks.

Does anyone have an idea how to solve this?Given a discrete 1D random walk starting at 0, with equal probability of going +1 or -1, what is the probability P(n) that after n steps the random walk stayed above 0, never hitting 0?Thanks!

<t>What is the reason hedge funds or proprietary trading firms trade exotic options? Given that they are complex OTC products, don't the banks on the other side of the trade want to make significant profits as well? So why share the profits?If profit is not the only reason, does one use exotics for ...

sorry, this was meant in the trading forum

<t>What is the reason hedge funds or proprietary trading firms trade exotic options? Given that they are complex OTC products, don't the banks on the other side of the trade want to make significant profits as well? So why share the profits?If profit is not the only reason, does one use exotics for ...

<t>There are several popular stochastic volatility models for equity options, and each is important with regard to the assumptions they make.Heston takes vol to follow a CIR process, while Stein&Stein or Scott take vol to follow an Ohrstein Uhlenbeck process, to account for vol's mean-reversion ...

<t>QuoteOriginally posted by: YuraI am amazed at how newbies here say "I am interested in equities, but I would consider FI too" like FI is some sort of a plague. What do you know about FI to say that you like equities better?!! Thanks for the answer. I admit my knowledge of both is not that deep, n...

<t>Hi,I am a junior studying math at a top school and will be interning at Merrill Lynch for a rotational program this summer. Given that I can choose (depending on availability) three trading desks I could work on (3 weeks on each), I would like to explore several areas of trading. I am mostly inte...