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visits member for 3 years, 5 months
seen Feb 22 '13 at 11:56

Now I think my display name is cool!Let's keep it ;)

Google+ http://gplus.to/csyang


Jan
7
comment Can a higher P/E ratio be beneficial under certain circumstances?
I am curious why SE doesn't have place for professional research analyst yet? Even the new proposal, "Stock Investing", doesn't look like for professional fundamental research analyst or portfolio manager. The sample questions look more like for proprietary traders. As for Money.SE? I have to say it's more for amateur. Also, the topic there is too diverse.
Jan
6
comment How do you mix quantitative asset allocation with qualitative views?
@QuantGuy: Ha, haven't looked into entropy pooling in detail. Sorry for a RTFM question! ;p
Jan
6
comment How do you mix quantitative asset allocation with qualitative views?
@QuantGuy: Do you happen to have recommended references for scenario-probabilities-based framework (can you add it in your answer)? or has it been taken care of in entropy-pooling techniques. Thanks for great references again! b^_
Jan
6
revised Why a self-financing replicating portfolio should always exist?
added 126 characters in body
Jan
6
revised Why a self-financing replicating portfolio should always exist?
added 126 characters in body
Jan
6
revised Why a self-financing replicating portfolio should always exist?
added 126 characters in body
Jan
6
comment Why a self-financing replicating portfolio should always exist?
Orz, debugging makes my answer a community wiki. Thus, I deleted and re-post it.
Jan
6
comment Why a self-financing replicating portfolio should always exist?
@chrisaycock: Thanks a lot for the attempt! :) Yeah, it feels like debugging, not fun. I found an acceptable alternative using \$P\$ \$_{T-3}\$. It seems that \$_{x}\$ ... z\$_{y}\$ doesn't work but \$_{x}\$ ... \$z\$ \$_{y}\$ will work, Orz.
Jan
6
comment Why a self-financing replicating portfolio should always exist?
Will highly appreciate if someone can kindly teach me how to make P\$_{T−2}\$ work. P\$_{T−2}\$ display properly in edit mode (and comments), but not after post? Why? Orz
Jan
6
answered Why a self-financing replicating portfolio should always exist?
Dec
29
awarded  Nice Answer
Dec
14
comment How do I adjust a correlation matrix whose elements are generated from different market regimes?
@Branson: Nope' Sorry, you are watching a proprietary idea ;) If you are interested in more discussion, please feel free to contact me @ google+/linked
Dec
13
awarded  Nice Answer
Dec
12
revised How do I adjust a correlation matrix whose elements are generated from different market regimes?
added 171 characters in body
Dec
12
answered How do I adjust a correlation matrix whose elements are generated from different market regimes?
Dec
8
comment Innovative ways of visualizing financial data
I like it! Thanks for sharing, stonybrooknick! :)
Nov
3
awarded  Civic Duty
Oct
25
comment How to extrapolate implied volatility for out of the money options?
@Tal: My answer to your question: To the best of my knowledge, what you are looking for just doesn't exist in 'public'. Or equivalently, the references you get now in this question and answers are the best you can have before you have more advanced proprietary knowledge. Hopefully save your time in searching for non-existing things.
Oct
25
comment How to extrapolate implied volatility for out of the money options?
\@Brian: I am with you all the way, Brian ;) @Tal: I would suggest you to be not that certain that Brian's concerns are irrelevant and have been carefully taken into account. Actually, I bet Brain has known everything you mentioned. And just an analogy to your comments about Peter Carr in TheBridge's answer: if you carefully check Brian's previous answers in QF.SE, you should doubt that he doesn't know what he's answering. He is obviously an expert/master in this subject. And interestingly, in this industry, proprietary advice is usually much better than the public reference.
Oct
24
comment Cleansing covariance matrices via Random matrix theory
I think RMT only helps you filter out noise eigenvectors. How we re-construct the correlation matrix after that is totally up to us. I personally will choose an approach that yield a diagonal of 1's. As for a diagonal != 1, it feels like that they are computing the 'cross-'correlation matrix between clean (after RMT) and noisy (before) time series (cause correlation of identical time series must equal to 1). Is it what you want? I thought we are looking for a correlation matrix composed of clean time series only.