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i need a little bit of math help
from anybody who's an expert on Brownian motion / random walk
need to juggle some equations in relation to
risk modeling, specifically volatility proxy.
the problem deals with derivation of
theoretical BM based prob. density functions for:
- absolute returns ( absolute distance over time interval )
- range of returns ( max distance over time interval )
- intrabar price deviations density and their relationship with
range of returns density ( this needs detailed explanation )
so, if someone is familiar with Brownian motion / prob GBM /
please e-mail back for details.
in return a top notch risk model will be provided for systematic trading.
bilo.
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