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…

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Time Aggregation: Why the Chart Clock Changes What You See

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…

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Sortino Ratio: Penalising Only Downside Volatility

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…

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Parabolic SAR Settings: Chart Behavior and Trade Rules

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…

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