Showing posts with label market making. Show all posts
Showing posts with label market making. Show all posts

Saturday, September 19, 2015

Projections and dispersion of stocks

The picture you don't usually see is how much randomness is in any kind of portfolio:

The actual projection always has dispersion fan coming out of it:
What's needed to calculate the influence is to count the number of buy and sell orders you already sent, that are within the dispersion fan: