Reputation
3,518
Top tag
Next privilege 4,000 Rep.
Access 'trusted user' tools
Badges
1 11 28
Newest
 Nice Answer
Impact
~126k people reached

Feb
7
answered Deterministic interpretation of stochastic differential equation
Feb
7
comment Paradoxes in quantitative finance
Oh, OK. I guess I tend to draw a distinction between the model and it's typical assumptions. The Black-Scholes model works just fine given the assumptions, which unfortunately don't hold true in the real world, thus the use of the vol smile. OTOH, theoretical asset pricing is wrong and not self-consistent, thus the equity premium puzzle: en.wikipedia.org/wiki/Equity_premium_puzzle
Feb
7
comment Paradoxes in quantitative finance
but if a model is wrong, isn't that necessarily bad?
Feb
6
awarded  Commentator
Feb
6
comment How to combine various equity measures into a single measure (vector magnitude)
I tend to agree with shabbychef. But if you have to have your own factor, you should look into principal component analysis (PCA). This will allow you to find the best linear combination of these factors.
Feb
4
awarded  Student
Feb
4
asked How are distributions for tail risk measures estimated in practice?
Feb
4
comment What concepts are the most dangerous ones in quantitative finance work?
I guess this isn't strictly quant... maybe the quant point is that if the model doesn't fit the facts, then the model still needs some work.
Feb
4
answered What concepts are the most dangerous ones in quantitative finance work?
Feb
3
comment Why does the VIX index have *any* correlation to the market?
@pteetor -- thinking on this more, I guess it really doesn't matter if American options have a dead band for put-call parity, does it? We're talking big jumps in implied vol, the call has to move, also. Do you think the demand for calls is one-for-one with the demand for puts during these down markets? I always thought the puts were causing the change. In other words, are a lot of people buying calls during a down market?
Feb
3
comment Why does the VIX index have *any* correlation to the market?
@pteetor -- good catch! SPX is a euro option so put-call parity should be exact.
Feb
3
answered What are the popular methodologies to minimize data snooping?
Feb
3
awarded  Supporter
Feb
3
comment Trading a synthetic replication of the VIX index
Why not use the ETNs? You can go long or short and I'm pretty sure that their tracking error is less than we could do as a solo trader. ipathetn.com/VXX-overview.jsp?investorType=pro
Feb
3
answered Who has introduced the term 'vega' and why?
Feb
3
answered Why does the VIX index have *any* correlation to the market?
Feb
2
revised Approximately what proportion of a stock’s volatility is explained by market movement?
added 32 characters in body
Feb
2
awarded  Editor
Feb
2
revised Approximately what proportion of a stock’s volatility is explained by market movement?
Answered the wrong question the first time
Feb
2
comment What is the “delta” option quoting convention about?
I can't find any options data, only spot and futures, even after signing up for the one year of free historical data. But the LME zinc contracts sell with strikes at intervals of 25, 50, and 100 in the strike ranges of <10000, 10000-20000, and >20000. They should be telling you the strike. Maybe write tech support?