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| bio | website | |
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| age | ||
| visits | member for | 2 years, 4 months |
| seen | May 26 at 13:49 | |
| stats | profile views | 222 |
finance PhD student
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Aug 4 |
comment |
How do I backtest a convertible bond arbitrage strategy in R/Matlab? Does it matter what security generates the price? I have only used the backtest in R, but any of these should let you generate portfolios along with a periodicity and condition for portfolio entry/exit. |
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Jul 27 |
awarded | Self-Learner |
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Jul 15 |
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Market Data For Project Have you tried past questions here? This is a weekly question. quant.stackexchange.com/search?q=data+source |
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Jul 1 |
revised |
Usage of NoSQL storage in Finance Typos |
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Jun 25 |
revised |
Is Conditional Value-at-Risk (CVaR) coherent? removed incorrect infimum part |
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Jun 25 |
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Is Conditional Value-at-Risk (CVaR) coherent? @chang -- Good catch! You're right. I read too quickly and misinterpreted discrete $R$ as $R$ in a finite set, which would require infimum. |
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Jun 24 |
answered | Is Conditional Value-at-Risk (CVaR) coherent? |
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Jun 23 |
answered | Control for bid/ask bounce in high-frequency trade data? |
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Jun 20 |
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Vanilla European options: Monte carlo vs BS formula The number of iterations is just a function of what size standard errors with which you are comfortable. |
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Jun 20 |
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Vanilla European options: Monte carlo vs BS formula You shouldn't be able to reject that the two solutions are different. |
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Jun 8 |
awarded | Organizer |
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Jun 8 |
revised |
How to estimate a multivariate GJR or TARCH model in Eviews? Added eviews and time-series tags |
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Jun 6 |
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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). |
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Jun 6 |
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Calculate Enterprise Value from Pro Forma Financial Statements And for the down-voter, please, no silent down-votes. |
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Jun 6 |
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Calculate Enterprise Value from Pro Forma Financial Statements Thanks for the question, but it's a bit off-topic here. Please check out the FAQ for what is considered in-scope. This forum prefers to stay focused on quantitative techniques applied to finance; your question is more of a traditional, cash-flow analysis question. |
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Jun 6 |
answered | What is the unit of the Distance to Default measure? |
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Jun 6 |
answered | Debunking risk premium via “hedging” argument? (or why even in the real world $\mu$ should equal $r$) |
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May 24 |
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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 :) ). |
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May 24 |
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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? |
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May 24 |
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Order submission strategies of a rational market maker? @knorv -- With no holding of A how does trader implement strategies II and III? |
