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Selling skew on high frequency.
I was thinking of whether anyone has done any analysis as to the equivalence of synthetically selling skew intraday and some of the common high frequency strategies. Are there any papers on this? If not, has anyone here tried implementing anything of this sort at his house?Thanks.
Last edited by haZim on October 6th, 2007, 10:00 pm, edited 1 time in total.