I must admit I said one incorrect statement during this talk. I said that we see that prices are continuous at every time scale we can observe, even at the millisecond level as seen in high frequency trading. This is not true, as is pointed out in the book "Financial Modeling with Jump Processes" by Cont and Tankov.
Hi Tom, this talk inspired me to read Oksendal's book on stochastic differential equations. I was wondering if you could recommend something for a physicist looking to model / think about systems with fat-tailed kick distributions (instead of Brownian kicks).
@@danielkorchinski In terms of finance, I would say Cont and Tankov's text "Financial Modelling with Jump processes". I am not familiar enough with the physics literature on fat-tailed distributions to comment on which text is best for physical applications. Sorry for the late reply, I thought I had replied many months ago.
incredibly interesting
I must admit I said one incorrect statement during this talk. I said that we see that prices are continuous at every time scale we can observe, even at the millisecond level as seen in high frequency trading. This is not true, as is pointed out in the book "Financial Modeling with Jump Processes" by Cont and Tankov.
Hi Tom, this talk inspired me to read Oksendal's book on stochastic differential equations. I was wondering if you could recommend something for a physicist looking to model / think about systems with fat-tailed kick distributions (instead of Brownian kicks).
@@danielkorchinski That is the 1 million dollar question.
@@danielkorchinski In terms of finance, I would say Cont and Tankov's text "Financial Modelling with Jump processes". I am not familiar enough with the physics literature on fat-tailed distributions to comment on which text is best for physical applications. Sorry for the late reply, I thought I had replied many months ago.
This is a fantastic insight, thank you so much!