- What is a martingale? - Quantitative Finance Stack Exchange
What is a martingale and how it compares with a random walk in the context of the Efficient Market Hypothesis?
- black scholes - Why is $C (t,S_t) B_t$ a martingale? - Quantitative . . .
@pbr142 As for buzzwords, does "risk-neutral measure" usually mean the measure such that asset prices discounted by a risk-free asset is a martingale? In contrast to, say a "martingale measure", which would measure asset prices discounted by a not-necessarily risk-free asset as martingales?
- Little Martingale EA 2, continuation thread | Forex Factory
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- Strictly local martingales: what is the intuition behind them?
A strict local martingale is a local martingale which is not a true martigale In fact, a positive strict local martingale is a supermartingale -- i e the expectation decreases with horizon In quant finance strictly local martingales have appeared as models which exhibit volatility induced stationarity or models that describe financial bubbles
- reverse martingale (Anti Martingale) EA - Forex Factory
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- SWB Martingale EA - Forex Factory
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- How to use Itôs formula to deduce that a stochastic process is a . . .
Rather simply and generally when you take the stochastic differential of a process and get no drift term but simply an ito integral, then this process is a martingale From memory that's how you retrieve some pde equations whose solutions lead to martingale (take the differential, look at the dt partial differentials term, then look for solution that would yield a vanishing dt term)
- BKs Grid EA (Martingale) - Forex Factory
With EAs that use grids, hedges and Martingale the results, from backtesting, can vary, depending on which broker's data is used Spikes etc can skew the results I left BK's EA running over night, on EU, and it made about $300 Unfortunately, in this morning's London session it hit max DD and lost $540!!
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