Re (5): дык! "Т" — в каком таймфрэйме — тик или года?
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Отправлено Quark, 16:12:32 16/10/2002
в ответ на: Re (4): дык! "Т" — в каком таймфрэйме — тик или года?, отправлено Иван FXS, 15:49:38 16/10/2002
 
The fit was done for T from 5 minutes to 1 week. alpha does not change much in this interval. I would like to draw your attention to the fact that
 
 
x^{-3.10} (long) less than x^{-2.84} (short)  !!!!
 
 
It means that being short is in general more profitabale than being long (the tail is fatter)!!! Although the skewness is not too large.
 
 
Cheers
 

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