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Aug
7
awarded  Citizen Patrol
Aug
7
comment Could the Implied Volatility distribution change again?
It is not just the shape of the implied volatility curve that changed after the crash, but rather the physical distribution of stock prices. Options prices adjusted to reflect the new reality. Presumably, if the stock price distribution changed again, options prices would change as well. However, all this is speculation, and I believe this question is not in scope, as it is not a practical, answerable question.
Aug
5
comment What are some quantitative approaches to value investment?
@taesung-shin, thanks for the question. If you like the answer, you can accept it by clicking the check mark.
Aug
5
revised What are some quantitative approaches to value investment?
Corrected spelling/grammar, added tags.
Aug
5
answered What are some quantitative approaches to value investment?
Aug
5
awarded  Revival
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?