Modelling earnings moves.

[ironchef]

Thinkorswim has more than adequate tools and I have been using them for years. In their analyzer I can see the position and greeks as well as make adjustments. I used them t model vols post earnings in my earnings calendars/straddles and dest uses those tools as well.

"Non-directional" is a word thrown around but if you are talking about vol trades, then ToS has good enough tools for retail traders. You are not trying to replicate complex instutiotnal model portfolios..just make some money.

Thank you. Let me take a look at their platform.

 

[oldmonk]

Brief glance at the paper tells me extensive knowledge of stochastic processes theory is needed to understand that. I'm currently studying it it during my 4 year in the university

The probability theory is really just for getting it published in a fancy journal. You can get by without needing any of it. It's usually sufficient to read just the "empirical evidence" section.

 

[ironchef]

Brief glance at the paper tells me extensive knowledge of stochastic processes theory is needed to understand that. I'm currently studying it it during my 4 year in the university

IMHO you are looking at the trees and missing the forest. If you focus on the concept instead of on the math, you maybe able to find something more useful.

I don't understand the maths, but this I do understand: from the term structure and time series estimators, the authors determined that they correlated differently with the uncertainty in earning and found some behaviors that are different when correlating term structure vs time series. This is tradable information if I am trading options because.....