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> I used to use the principles of kelly betting back when I designed systematic HFT strategies. possibly a dumb question, but how did this work exactly? the k
by voldacar 6y ago
> I used to use the principles of kelly betting back when I designed systematic HFT strategies.
possibly a dumb question, but how did this work exactly? the kelly criterion assumes you know the amount by which the coin is weighted, how would you know the equivalent for the stock market in the very near term?
- kqr 6y agoYou make a conservative guess. The Kelly criterion is somewhat forgiving about guessing it wrong. Your question is not dumb: you figured out exactly what's hard about this stuff.