You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Hello can I suggest for the next video series you start introducing some of Taleb's knowledge and methods into you options (Johnson Su) video series. I've like his video with Stephen Wolfram (search on youtube)... many ground for exploration on what he said on that video. Dynamic hedging will also be something interesting to implement, I believe that he also uses something very similar to Heston model to model prices (why not using Johnson SU on that model instead of assume normal distribution?!). Would be nice in python please.
Why do you use 42-day estimation for PV? Is there an academic journal or trading intuition to use that frequency over any other (IE: 5-day, 21-day, 63-day, 252-day)
Hi David, and thanks for the question! To be totally honest, no particular reason, it just quite nicely corresponds to two trading months (2*21 = 42). You can apply the same test to other rolling windows as well.
@@NEDLeducation Thanks for answer. Usually, financial calculation uses 21-day (monthly) or 63-day (quarterly), so hearing about a 2-month trading window seems pretty new to me.
Hi,congratulations, really good video! I am reading “Dynamic delta hedgeging” of Taleb but in the book he says that Parkinson = 1,67 V. However, you say that ratio is roughly 1. Who is right? Am I missing something? Regards, David
Hi David, and glad you enjoyed the video! You are correct, the 1.67 multiplier is coming from the Parkison volatility formula, in the original version for Parkinson variance there is a 4*ln(2) multiplier, which means the Parkison volatility is sqrt(4*ln(2)) higher, and it is easy to see sqrt(4*ln(2)) is approximately equal to 1.67. If this multiplier is avoided, hypothesis testing is much easier and more intuitive, so I opted for this presentation (I believe I briefly mention this issue in the video as well). Hope this helps!
hi thanks a ton for the time and efforts .. my few question :: can we use it in option trading intraday trading ?? secondly as now a day there weekly expiry so still do we need to take 42 or need to calculate as day 1 for first day and so on till 7 th day .. please guide it may be silly question but if u can will be much helpfull ?? secondly are there any changes need to be taken care of for intraday trading as time if 5 mins (H L C Open if taken will it work or it will work only on daily time frame only ) thank again 1 more question how did we get 10 % / 2 at 11.38
Hi Devansh, and thanks for the comment! I do provide some relevant materials in the Google Drive. The two tutorials you are referring to are largely based on the original paper by Parkinson (www.jstor.org/stable/2352357) and an idea developed by Nassim Taleb in his 1997 "Dynamic Hedging" book.
# BRAZILIAN HELLO TEACHER FIRST MIND I WANT TO THANK YOU FOR THE SIZE FREE KNOWLEDGE. MAY GOD CONTINUE TO BLESS YOU WITH SUCH WISDOM. I HAVE A DOUBT HOW CAN I TRANSFORM THE F-START INTO NUMERICAL MARKET DATA "FUTURE DOLLAR STUDY" 106.1 %=MAXIMUM(J17^2;1/J17^2) HOW CAN I TRANSFORM IT INTO A MARKET NUMERATOR EX: 5532.5
You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
this channel is a diamond, please continue
NEDL is the Best
Yes he is
Thank you ! Your lessons are always great.
Amazing job man!! High quality content!
Hello can I suggest for the next video series you start introducing some of Taleb's knowledge and methods into you options (Johnson Su) video series. I've like his video with Stephen Wolfram (search on youtube)... many ground for exploration on what he said on that video. Dynamic hedging will also be something interesting to implement, I believe that he also uses something very similar to Heston model to model prices (why not using Johnson SU on that model instead of assume normal distribution?!). Would be nice in python please.
Why do you use 42-day estimation for PV? Is there an academic journal or trading intuition to use that frequency over any other (IE: 5-day, 21-day, 63-day, 252-day)
Hi David, and thanks for the question! To be totally honest, no particular reason, it just quite nicely corresponds to two trading months (2*21 = 42). You can apply the same test to other rolling windows as well.
@@NEDLeducation Thanks for answer. Usually, financial calculation uses 21-day (monthly) or 63-day (quarterly), so hearing about a 2-month trading window seems pretty new to me.
Hi,congratulations, really good video!
I am reading “Dynamic delta hedgeging” of Taleb but in the book he says that Parkinson = 1,67 V. However, you say that ratio is roughly 1.
Who is right? Am I missing something?
Regards,
David
Hi David, and glad you enjoyed the video! You are correct, the 1.67 multiplier is coming from the Parkison volatility formula, in the original version for Parkinson variance there is a 4*ln(2) multiplier, which means the Parkison volatility is sqrt(4*ln(2)) higher, and it is easy to see sqrt(4*ln(2)) is approximately equal to 1.67. If this multiplier is avoided, hypothesis testing is much easier and more intuitive, so I opted for this presentation (I believe I briefly mention this issue in the video as well). Hope this helps!
Hi. Is there any way to forecast the taleb ratio?
Hey man, great!!!!!
hi thanks a ton for the time and efforts .. my few question :: can we use it in option trading intraday trading ?? secondly as now a day there weekly expiry so still do we need to take 42 or need to calculate as day 1 for first day and so on till 7 th day .. please guide it may be silly question but if u can will be much helpfull ?? secondly are there any changes need to be taken care of for intraday trading as time if 5 mins (H L C Open if taken will it work or it will work only on daily time frame only ) thank again 1 more question how did we get 10 % / 2 at 11.38
Sir please suggest some books that cover all these types of concepts with mathematics and research papers too! Much thanks for the wonderful content!!
Hi Devansh, and thanks for the comment! I do provide some relevant materials in the Google Drive. The two tutorials you are referring to are largely based on the original paper by Parkinson (www.jstor.org/stable/2352357) and an idea developed by Nassim Taleb in his 1997 "Dynamic Hedging" book.
@@NEDLeducation thank you!
Plz make some R application video
# BRAZILIAN
HELLO TEACHER FIRST MIND I WANT TO THANK YOU FOR THE SIZE FREE KNOWLEDGE.
MAY GOD CONTINUE TO BLESS YOU WITH SUCH WISDOM.
I HAVE A DOUBT HOW CAN I TRANSFORM THE F-START INTO NUMERICAL MARKET DATA
"FUTURE DOLLAR STUDY"
106.1 %=MAXIMUM(J17^2;1/J17^2)
HOW CAN I TRANSFORM IT INTO A MARKET NUMERATOR
EX: 5532.5