Gamma Capture
The Quant / Financial Engineering Podcast
00:00
Analyzing Intraday Volatility and Trading Strategies
This chapter explores the application of a new formula for analyzing tick data, emphasizing the relationship between limit order executions and market volatility. It discusses the limitations of traditional volatility measures and introduces enhanced methods for traders, particularly in the context of intraday trading and options. The speakers examine the implications of these analytical approaches on trading strategies, including the significance of gamma capture and the evolution of volatility in the market.
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