Creating and testing arbitrage strategies - page 5
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Bid-ask is in question.
The vertical scale is clear:
This is just me hiding the sums of the left and right bins.)
Here it is in full colour:
However, you just need to get the display of baskets and correlation in the settings . Let them adjust it for themselves.
Anyway, as I understand it, you're not doing it for yourself, but sort of for sale.
--
I'll pass. Not interested.
Oh, man. There's a real terminological problem with these classics.
Volatility is the "bounce", the amplitude of fluctuations in a channel, if you put it that way. and the spread is the difference between the bid and ask (offer) of a synthetic instrument. different things.
both of them can be precisely calculated and displayed graphically.
// Let's forget about the "classic arbitrage spread" as the difference between quotes of two portfolios.
>Volatility is the "bounce", the amplitude of oscillations in a channel.
it's also known as the high-low ratio.
>Spread is the difference between the bid and offer of a synthetic instrument.
The arbitrage spread is considered in the same way: the ratio of the high-lows of two instruments.
>Volatility is the "bounce", the amplitude of fluctuations in the channel
It's also considered as a high-low ratio.
>The spread is the difference between the bid and offer of a synthetic instrument.
In arbitrage, the spread is counted exactly the same way: the ratio of the high-lows of two instruments.
That's why in arbitrage the term "buy spread" means to buy the low of one instrument and sell the high of another, and vice versa.
i'm kind of aware of that. :) but why the confusing terminology game? to make life easier? :)
And what do we call the difference between the buy price and the sell price of one asset (currency pair, paper) ?
Anyway, as I understand it, you're not doing it for yourself, but kind of for sale.
--
I'll pass. Not interested.
Why the confusing terminology game? To make life easier for you? :)
What do we call the difference between the buy price and the sell price of an asset (currency pair, paper) ?
The spread is the difference. Within one instrument this is the difference of bid-ask. Within two instruments it is the difference between the high of one and the low of the other.
I really don't need this confusion. holy crap. it only messes with your head and is only good for "academic pride" in the company of smart analysts.
And the classic arbitrage terminology is the same. For example, it only prevents you from understanding me, and I you.
one more time: every synthetic arbitrage tool (the one and only), has an exact buy and sell price at any given time. its difference I call the word "spread".
And it also has a fluctuation amplitude, volatility, turbulence, and whatever else you want to call the width of the stat-arbitrage channel. calling it a spread is a wildly confusing way of thinking, because it mixes up things that should be strictly compared and their ratio should be calculated, because it (this ratio) actually determines the profitability of statistical arbitrage.
i can change the terminology, but only as long as it helps to make a profit and distinguish between concepts that need to be distinguished. and how this will relate to "academic terminology" is a deeply secondary issue. and if the classical concepts harm mutual understanding - what a waste. :)
I agree with everything. Ask, bid - I use. in Synthetics I use the sum of the coefficients. the result is one quoted instrument against the basket.
Only I don't know why I should logarithm it. When I finish the synchronization in the indicator, I will have to experiment. Can you tell me more about the logarithm?
I take it you also trade synthetics?
By the way, the difference can be called a discount ;)
I agree with everything. Ask, bid - I use. in Synthetics I use the sum of the coefficients. the result is one quoted instrument against the basket.
Only I don't know why I should logarithm it. When I finish the synchronization in the indicator, I will have to experiment. Can you tell me more about the logarithm?
I take it you also trade synthetics?