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Con Keating replied to Andrew's discussion Risk and Time In The Market -- request for reviewers
"The flaw at the heart of this paper is that for strategies 1 and 2 to co-exist, the assumption of independence of returns is violated. If we have constant one hour volatility, then the likehood of of strategy B returning the same as strategy A is…"
Jul 31, 2012
Con Keating replied to Andrew's discussion Risk and Time In The Market -- request for reviewers
"I have not yet read the paper here. However, if I were asked to address this question, I would first distinguish between ultimate sources of liquidity. By this I mean that I will treat liquidity arising from non-market sources - coupons, dividends…"
Jul 31, 2012

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  • Boris Agranovich March 18, 2011 12:16
    Hi Con, It’s great to have you here! Feel free to invite new people, participate in discussions, activities and share knowledge. If you've got a frog for a picture, hurry up and replace it!
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