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    Why are quants afraid of Mark Jurik?

    JMA has already been revealed by an Ukranian developer and it has even been improved by other coders: and this is the jurik volty stop:
  2. O

    Why are quants afraid of Mark Jurik?

    The Jurik smoothing includes 3 stages: 1st stage - preliminary smoothing by adaptive EMA: MA1 = (1-alpha)*Price + alpha*MA1[1]; 2nd stage - one more preliminary smoothing by Kalman filter: Det0 = (Price - MA1)*(1-beta) + beta*Det0[1]; MA2 = MA1 + PR*Det0; 3rd stage - final smoothing by...
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