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Aug
5
revised What are some simple algorithms for hedging vanilla bonds?
linked to book
Aug
5
revised What are some simple algorithms for hedging vanilla bonds?
fixed grammar, added tags
Aug
5
answered What are some simple algorithms for hedging vanilla bonds?
Aug
4
comment How do I graphically represent the evolution of a covariance matrix over time?
you may be right that SNA could one day prove useful in finance, but I'm really not sure that this particular application (my question) is such a case. Your answer strikes me somewhat as falling under the saying, "to someone with only a hammer, everything looks like a nail." Nevertheless, I encourage you to post your own question asking whether SNA is useful in finance.
Aug
4
revised What methods do I need to learn in order forecast asset price movements?
fixed spelling, removed extraneous information, added/removed tags (question not actually about options)
Aug
4
awarded  Organizer
Aug
4
revised How do I calculate the skewness of a portfolio of assets?
fixed grammar and spelling, added tags
Aug
4
revised How do I graphically represent the evolution of a covariance matrix over time?
fixed grammar and spelling, eliminated repetitiveness
Aug
4
comment How do I graphically represent the evolution of a covariance matrix over time?
Interesting idea. Do you have any references of how it can be adapted to correlation analysis?
Aug
4
comment How does one analyze diversification if stock prices follow a Cauchy distribution?
@vonjd I'm sorry, I would have listed them if I could remember where I read this, but I do not. I believe the result is both to be expected, as a result of the central limit theorem, and also in part a consequence of long-horizon mean reversion, as shown by DeBondt and Thaler (1985).
Aug
4
comment How do I backtest a convertible bond arbitrage strategy in R/Matlab?
@richardh, right, hence my update above. I have tried looking through RQuantLib, but as I commented to Brian Peterson's post below, the documentation is not exactly user friendly, hence my question.
Aug
4
revised How does one analyze diversification if stock prices follow a Cauchy distribution?
added link to previous question #115
Aug
4
comment Portfolio optimization with monte carlo sampling from predictive distribution
Even though the predictive distribution is not normal, can it be modeled analytically or is it purely empirical?
Aug
4
answered How does one analyze diversification if stock prices follow a Cauchy distribution?
Aug
4
comment How do I backtest a convertible bond arbitrage strategy in R/Matlab?
@richardh The tough part of these strategies is figuring out the Greeks (like options pricing).
Aug
3
comment How do I graphically represent the evolution of a covariance matrix over time?
@michaelv2 you are absolutely right, and in this case I took min(x,180-x) for the graph above. I think percentage variation explained is what quant-guy had in mind initially, and I plotted that as well, it is also helpful.
Aug
2
revised How do I graphically represent the evolution of a covariance matrix over time?
Added graphs to illustrate my implementation of Quant-Guy's answer
Aug
2
comment How do I graphically represent the evolution of a covariance matrix over time?
That's brilliant! I just tried it and it actually works really well to demonstrate major shifts in the correlation structure. Can we do some cleanup and incorporate your comment into your answer?
Aug
2
accepted How do I graphically represent the evolution of a covariance matrix over time?
Aug
2
comment How to quantify the impact of management cost on return?
@hhh, I agree that EC is greater if the drift is positive (as in your example), and AC is greater if the drift is negative. No need for condescension. I am trying to help you work out the problem by defining the terms, or at least finding a reference where these terms have been defined. We can delete this and post a summary of my questions on your question as a comment if you like. However, you still have not answered most of them, and I think it will be difficult for anyone not familiar with this exact problem to help you solve it without those answers.