fix equation #1
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fix equation #1
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Hi thanks for this repo, I noticed the equation wasn't quite right, so fixed it. As expected it improves risk adjust PnL. The equation can be found here:
https://www.math.nyu.edu/~avellane/HighFrequencyTrading.pdf
Also, I had a look at option B unlimit time horizon but have no idea where it comes from. The PnL does not look good either. Which paper is it from?