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

finance PhD student


Nov
28
answered How to generate a random price series with a specified range and correlation with an actual price?
Nov
28
answered zero-sum active management riddle
Nov
14
answered How to check if a timeseries is stationary?
Sep
2
answered Garch modelling on Stata
Aug
13
answered Has high frequency trading (HFT) been a net benefit or cost to society?
Aug
13
answered How many explanatory variables is too many?
Aug
8
answered Indicators and research for stress-based investment strategies
Jun
24
answered Is Conditional Value-at-Risk (CVaR) coherent?
Jun
23
answered Control for bid/ask bounce in high-frequency trade data?
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
6
answered Using linear regression on (lagged) returns of one stock to predict returns of another
Apr
21
answered Simulating Returns
Apr
17
answered Are two identical time series cointegrated?
Apr
15
answered Mean reverting Indicator
Apr
5
answered data on historical stock price of bankrupt companies
Apr
5
answered An equation for European options
Mar
30
answered Given two portfolios with identical correlation matrices, which one will have a better risk/reward ratio?
Mar
24
answered Is statistical arbitrage on FX possible?
Mar
23
answered How to perform risk factor calculation?