Hawkes Process: Why Market Events Arrive in Clusters
Watch a fast tape for a few minutes and the rhythm gives itself away. Trades, quote changes, and cancellations don't arrive like a metronome. The book goes quiet, then a…
Watch a fast tape for a few minutes and the rhythm gives itself away. Trades, quote changes, and cancellations don't arrive like a metronome. The book goes quiet, then a…
Two traders pull up the same stock on the same day and come away describing two different markets. One calls it a quiet session, up a fraction, nothing worth a…
The sortino ratio is a risk-adjusted return measure calculated as a strategy's excess return over a minimum acceptable return, divided by its downside deviation. The formula in one line is…
You are watching a stock trade in a tight range for three weeks. The bands contract, the channel narrows, and every volatility tool on your chart is quietly agreeing: something…
Parabolic SAR is a trend-following indicator that plots a series of dots above or below price. SAR stands for “stop and reverse,” which describes its original purpose: it acts like…