Category Archives: Mathematica

Stationarity and Fat Tails

In this post I am going to explore how, starting from the assumption of a stable, Gaussian distribution in a returns process, we evolve to a system that displays all the characteristics of empirical market data, notably time-dependent moments, high … Continue reading

Posted in Fat Tails, Mathematica, Regime Shifts, Regime Switching, Uncategorized, Volatility Modeling | Tagged , , , , , , | Comments Off

The Mathematics of Scalping

NOTE:¬† if you are unable to see the Mathematica models below, you can download the free Wolfram CDF player¬†and you may also need this plug-in. You can also download the complete Mathematica CDF file here. In this post I want … Continue reading

Posted in Futures, Mathematca, Mathematica, Scalping, Trading, Volatility Modeling | Tagged , , , , , , , , , , , , , , , , | Comments Off

Option Prices in the Variance Gamma Model

Posted in Mathematica, Options, Volatility Modeling | Tagged , , , | Comments Off