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by Alan
May 17th, 2021, 5:56 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 52
Views: 2277

Re: PWOQF, expected hitting time

You're welcome.

Looks like the expected hitting time of a std BM to a sloping line is always finite, as per here
I thought this might lead to a simple example where the expected exit time was +infinity, but it doesn't.
by Alan
May 17th, 2021, 2:27 pm
Forum: Student Forum
Topic: Silly questions
Replies: 119
Views: 38249

Re: Silly questions

Chain rule (no sde) says [$]y = F^{1-\beta}/(1 - \beta)[$] works. 
by Alan
May 16th, 2021, 8:54 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 52
Views: 2277

Re: PWOQF, expected hitting time

For 2, express the hitting time density as the negative t' derivative of a complementary distribution func. Since, by assumption in that case, the expected hitting time is finite, the hitting time density must decay at large t' like [$] 1/(t')^{2 + \epsilon}[$] or faster, where [$]\epsilon > 0[$]. U...
by Alan
May 16th, 2021, 8:17 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 52
Views: 2277

Re: PWOQF, expected hitting time

At first I thought it was ok, but now I think that you have to distinguish the case where the expected exit time is +infinity from the case where it's finite. In the latter case, by introducing the complementary density, you can show the claimed relation is correct. In the former case, the last inte...
by Alan
May 16th, 2021, 7:51 pm
Forum: General Forum
Topic: PWOQF, expected hitting time
Replies: 52
Views: 2277

Re: PWOQF, expected hitting time

deleted -- later
by Alan
May 15th, 2021, 4:56 pm
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 846
Views: 124494

Re: End of bitcoin?

Unlike mainstream traditional currencies, bitcoin is virtual and not made from paper or plastic, or even metal. Bitcoin is virtual but power-hungry as it is created using high-powered computers around the globe. At current rates, such bitcoin "mining" devours about the same amount of ener...
by Alan
May 15th, 2021, 3:58 pm
Forum: General Forum
Topic: Stock probability incorporating volatility
Replies: 6
Views: 825

Re: Stock probability incorporating volatility

Thanks for your comments and careful reading. Re your numbered points: 1. I have a whole chapter dedicated to moment relations, cumulants, etc, in the forthcoming book. 2. I just use the Risk Free term as an observable at each time t, and my ERP(t,T) is a static estimate for various horizons T. I su...
by Alan
May 14th, 2021, 5:40 pm
Forum: Politics Forum
Topic: The vaccines
Replies: 172
Views: 10256

Re: The vaccines

So true. Would make a good comic. Kid with sidewalk booth: "Lemonade 10 cents. CDC cards 25 cents". 
by Alan
May 14th, 2021, 5:22 pm
Forum: Politics Forum
Topic: The vaccines
Replies: 172
Views: 10256

Re: The vaccines

Hehe. Actually, an embedded credit-card-style chip would have been a good idea for the CDC cards -- prevent forgeries.  :D 
by Alan
May 14th, 2021, 4:53 pm
Forum: Politics Forum
Topic: The vaccines
Replies: 172
Views: 10256

Re: The vaccines

@Copenhagentolondon Re universities, here is an account of the mandatory political test that is now applied first for Univ. of California faculty applicants. This is from an excellent book, "The Breakdown of Higher Education" by John M. Ellis, which I highly recommend. Ellis is emeritus p...
by Alan
May 14th, 2021, 4:27 pm
Forum: Trading Forum
Topic: End of bitcoin?
Replies: 846
Views: 124494

Re: End of bitcoin?

Ransomware is part of an emerging and profitable criminal business that generated more than $400 million in income in 2020, according to Chainalysis. Hacking groups like DarkSide  through which criminal networks extort victims. Security researchers call their work ransomware-as-a-service. They make...
by Alan
May 11th, 2021, 7:44 pm
Forum: General Forum
Topic: CME Group Volatility Index (CVOL)
Replies: 2
Views: 410

Re: CME Group Volatility Index (CVOL)

Typo: should have written [$]\sigma_Q^2 T \times F^2[$] above.
by Alan
May 11th, 2021, 7:11 pm
Forum: General Forum
Topic: CME Group Volatility Index (CVOL)
Replies: 2
Views: 410

Re: CME Group Volatility Index (CVOL)

Thanks, was not aware. So, looks like they are trying to compute something like  [$] E^Q[ (S_T - F)^2] = \sigma_Q^2 \, F^2[$] by option replication (VIX-type methodology), where F is today's forward price for expiration T?  If so, there is always the caution that [$]\sigma_Q \not= \sigma_P[$], where...
by Alan
May 11th, 2021, 6:40 pm
Forum: Politics Forum
Topic: Party hardcore
Replies: 14
Views: 751

Re: Party hardcore

Good find. Was not aware either. Local girl I see. We have a winner.
Best I could locate was "Ginger Spice" in the UK, although more pop than rock. 
by Alan
May 11th, 2021, 6:31 pm
Forum: Politics Forum
Topic: The vaccines
Replies: 172
Views: 10256

Re: The vaccines

Well, you were the one who raised nationalization. If you just want them to pay more tax, I'm sure Biden will deliver.