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visits member for 3 years, 10 months
seen Dec 4 at 0:44

finance PhD student


Apr
27
reviewed Reject beta tag wiki excerpt
Apr
22
revised Total Return measurement paradox w/ Adjusted Close Prices
added 8 characters in body
Apr
22
revised Total Return measurement paradox w/ Adjusted Close Prices
fixed math mode problems
Apr
21
answered Simulating Returns
Apr
21
awarded  Nice Answer
Apr
19
comment British hedge/mutual funds performance comparison website
@QAZ -- You can spend some of that $10-100K to subscribe to the Hedge Fund Research database hedgefundresearch.com/index.php?fuse=pricing&1303259036 But given that others have pointed out that hedge funds are geared towards institutional investors and high-wealth individuals, I think you're best off investing in a FTSE index mutual fund. But Joshua's link is a better outlet for those type questions.
Apr
18
comment George Soros models
@RockScience -- Yes, $j, k \in \left\{ 3, 6, 9, 12 \right\}$. Using $j$ for the screening period and $k$ for the holding period seems the most common notation in this literature.
Apr
17
comment George Soros models
@shane -- I wrestle with the distinction between momentum and mean reversion; they seem to be two sides of the same coin. One month's winners are the next's losers (short run reversal), $j$-month winners win for the next $k$ months after you skip a week (momentum), and stocks that win for 36-60 months lose for the next 24 or so (long run reversal). And vice versa.
Apr
17
answered Are two identical time series cointegrated?
Apr
15
answered Mean reverting Indicator
Apr
7
reviewed Approve What are the popular methodologies to minimize data snooping?
Apr
5
comment What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
For those not in the know, what is the acronym CVA? :)
Apr
5
answered data on historical stock price of bankrupt companies
Apr
5
comment An equation for European options
@Gortaur -- Good call. That should be clearer. If you know that you will have a better valuation $V_{\tau}$ at time $\tau$, then make that valuation now at time $t$.
Apr
5
revised An equation for European options
clarify second equation
Apr
5
revised penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$
my last attempt at fixing
Apr
5
comment penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$
@Gortaur -- +1, I think you're right! Maybe she can take a pic and we can tweak. We can always revert if I've lost something.
Apr
5
revised penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$
edited body
Apr
5
comment penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$
@amber -- It seems this was cut-and-pasted from some homework? Please check that I've typeset correctly. Without some more info, I can't make this out.
Apr
5
revised penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$
still trying to fix math type