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visits member for 3 years, 10 months
seen Nov 25 at 11:41

finance PhD student


Jun
8
awarded  Organizer
Jun
8
revised How to estimate a multivariate GJR or TARCH model in Eviews?
Added eviews and time-series tags
Jun
6
comment What is the unit of the Distance to Default measure?
@balteo -- I don't know your data source, but I expect that it should be on an annual basis, because this is how firms report debt liabilities (i.e., they report debt liabilities due in the next year).
Jun
6
answered What is the unit of the Distance to Default measure?
Jun
6
answered Debunking risk premium via “hedging” argument? (or why even in the real world $\mu$ should equal $r$)
May
24
comment Order submission strategies of a rational market maker?
@chris, @knorv -- Thanks for the education! (I am clearly not familiar with short selling in this context, then :) ).
May
24
comment Order submission strategies of a rational market maker?
@chris -- I am familiar with short-selling, but are short-selling costs worth the few bps on capturing the spread? Maybe thats the real question here?
May
24
comment Order submission strategies of a rational market maker?
@knorv -- With no holding of A how does trader implement strategies II and III?
May
20
comment Reliable Economic Data on China
It is unlikely that anyone who has spent the time and money on this research would sell it cheaply, if at all.
May
6
comment Using linear regression on (lagged) returns of one stock to predict returns of another
@vonjd -- The 11th on list is the one in which he proposes the seven factors. I haven't read too much of the hedge fund literature, but I have seen more than a few use these factors.
May
6
answered Using linear regression on (lagged) returns of one stock to predict returns of another
Apr
29
comment Predicting Price Movements on a Betting Exchange
Kyle's bio at UMD
Apr
29
comment Predicting Price Movements on a Betting Exchange
I think "Albert Kyle" is his given name, but people always refer to him as "Pete Kyle" (I certainly don't know the guy personally).
Apr
28
comment Quantitative Derivatives Trading vs. Time
How do know whether to buy AAPL today or next year? I would argue the other side, that investing/hedging with options is less difficult because you're able to more precisely select the risk you bear. A big eye-opener for me was Coval and Shumway's expected option return paper. And, of course, Hull's book is required reading.
Apr
27
reviewed Approve suggested edit on valuation tag wiki excerpt
Apr
27
reviewed Approve suggested edit on r tag wiki excerpt
Apr
27
reviewed Approve suggested edit on r tag wiki
Apr
27
reviewed Reject suggested edit on mbs tag wiki excerpt
Apr
27
reviewed Reject suggested edit on liquidity tag wiki excerpt
Apr
27
reviewed Reject suggested edit on delta-neutral tag wiki excerpt