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Month: May 2019

Example URL links of long term mean reverting strategy code with Ernie Chan

Notes Notes on Ernie Chan lomg term vs short term coding cointegration diverges between pairs over long term while co-relation comove in same direction cointegration is long term and about price correlation is short term and about returns basic mean reversion strategy bollinger bands -> enter into position only when price deviates by more than …

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Option pricing alternatives to Black-Scholes? You mean revert?

What are some Black Scholes pricing alternatives? Just remember this is really for options and futures pricing only. It helps to determines all of kinds of contract info. This is all pure quant techniques. See some of the solutions here https://www.quora.com/What-are-some-option-pricing-alternatives-to-Black-Scholes Mean reverting pricing solutions? Anyone doing this stuff for their mean reverting strategies or …

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