Viewing profile — pierrealexandre

There is some interesting research regarding the optimal tick size (by instrument), eg https://arxiv.org/abs/1207.6325

No, it does not sit at the same 1-tick spread all day. Typically for these tickers the 1-tick spread transitions very quickly to the 1-tick spread above or below (each individual m…

If I understand Table 1 correctly, it shows that with ICC a block size of 8 with 4000x4000 matrices gives roughly a speedup factor of 2 (~10.53 / 6.38). The unit is not clearly sta…

The article provides historical context and a framework to think about the question. I think it does a better job answering the question than your last 2 paragraphs.

Actually, replace 90 by 91 (100 / 1.1), and 35 by 38.5 (100/1.1^10)

You don't "specify a duration" for the valuation: an infinite duration is baked in the valuation itself through the time value of money. If the annual interest rate is 10%, 100$ in…