THE 2-MINUTE RULE FOR PNL

The 2-Minute Rule for pnl

You may also analyse the skewness and kurtosis with the period PnL by using third and 4th moments of $Y_t$ respectively. Presumably you may conclude that for 2 sequence with identical expectation and variance, you are going to choose the one with favourable skew or reduced kurtosis, but probably not according to the assurance of the market perspect

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