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On Mon, 16 Sep 2002 11:16:11 -0400, "Bilo Selhi"
<biloselhi@xxxxxxxxxxx> wrote:
>2. cauchy does generate fat tails and is leptokurtic, so is the paretians...
>bilo.
>ps. anybody ever ran fit tests on return data for a chauchy?
>someone should write a paper on market impact, order size distribution and liquidity distribution,
>take data from L2 which is widely available and do fit tests on it and prove the f..king point once and for all.
I use a Weibull distribution (2 parameter version, separately applied
to wins and losses) in my option trading system to calculate e.g. the
probability to loose more than 80% (p2lmt80) in an upcoming trade.
Because the result is the basis for my MM, I included this p2lmt80
into the goal function of my system optimization routine. Works fine
now for about 2 years.
mfg rudolf stricker
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