9,255 reputation
22879
bio website
location Aschaffenburg, Germany
age 44
visits member for 3 years, 10 months
seen 12 mins ago

The stock market is a metaphor for life: "How to survive in a stochastic environment?"

I am proud member of the Bachelier Finance Society: http://www.bachelierfinance.org


1d
comment Can classical economics explain *any* of the so-called stylized facts of finance?
Thank you for accepting my answer and awarding the bounty :-) I appreciate it!
1d
reviewed Approve Can classical economics explain *any* of the so-called stylized facts of finance?
1d
awarded  Electorate
1d
comment How to express the Black Derman & Toy Model in a $dr=A\,dt+B\, dW$ form?
@Drew: I think this question is not too bad.
2d
revised Can classical economics explain *any* of the so-called stylized facts of finance?
edited body
2d
answered Can classical economics explain *any* of the so-called stylized facts of finance?
Dec
1
answered Kalman Filter Equity Example
Nov
30
comment How do I calculate the probability of a stock being above or below a value using the Heston model?
It would be helpful if you could give some background for the question and where your own thoughts on this get stuck. Thank you
Nov
28
comment What are the canonical books for statistics applied to finance?
I noticed that you have not accepted one single answer to all of your questions yet :-( I would very respectfully ask you to do that because members of this community generally put much effort into helping others (and in this case you). Thank you :-)
Nov
24
answered What are the canonical books for statistics applied to finance?
Nov
22
awarded  Popular Question
Nov
22
reviewed Approve Is the volatility for these two SDEs the same
Nov
22
comment Relationship between Beta and Standard Deviation
A warm welcome to Quant.SE and thank you for your question! If you find the answers helpful please upvote them and accept one of them. Thank you and looking forward to interacting with you more in the future :-)
Nov
22
reviewed Approve Is the value also log-normally distributed?
Nov
21
answered Relationship between Beta and Standard Deviation
Nov
5
comment Black scholes text book
A Warm Welcome to Quant.SE :-) If you find these answers helpful please upvote them and consider to accept one of them. Looking forward to having you as an active member of this vibrant community :-)
Nov
4
revised Black scholes text book
added 2 characters in body; edited tags
Nov
4
answered Black scholes text book
Oct
27
comment How is stock data objectively different to this random walk?
Hello Mark! Welcome to Quant.SE. Hope that the answers are useful for you. If you find them helpful please free to upvote them and accept one of them. Thank you and looking forward to future interactions with you here :-)
Oct
26
comment How is stock data objectively different to this random walk?
Yes and no: In general you are of course right but financial markets can be in different regimes. When you only take 250 trading days selectively it could well be that they are mainly from a "normal" regime. In fact you could model financial time series and their stylized facts with a mixture of 2 to 4 Gaussian distributions quite well.