3 papers
q-fin.TR2024
Calculating Profits and Losses for Algorithmic Trading Strategies: A Short Guide
James B. Glattfelder, Thomas Houweling
We present a series of equations that track the total realized and unrealized profits and losses at any time, incorporating the spread. The resulting formalism is ideally suited to…
q-fin.ST2024
The Theory of Intrinsic Time: A Primer
James B. Glattfelder, Richard B. Olsen
The concept of time mostly plays a subordinate role in finance and economics. The assumption is that time flows continuously and that time series data should be analyzed at regular…
q-fin.TR2014
R&D Strategy Document
James B. Glattfelder, Thomas Bisig, Richard B. Olsen
We outline what we believe are the prerequisites and building-blocks for successfully devising trading models and other financial applications based on a complex systems perspectiv…