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12675
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location Aschaffenburg, Germany
age 44
visits member for 3 years, 7 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


3h
comment In what kind of stochastic process Ito's lemma is adopted?
This is a site for professional quants. Concerning this question: Wikipedia is your friend.
7h
answered Solving Black-Scholes PDE using Laplace transform
7h
revised Solving Black-Scholes PDE using Laplace transform
deleted 5 characters in body; edited title
Sep
8
comment Martingale Stock Prices
@Downvoter: It is good practice here to state a reason why you downvoted and/or give advice on how you think the answer could be improved - thank you!
Sep
1
comment When Fed stops QE, Treasury Futures will go down in price, so… LEAP Puts are a good idea?
@user1883050: Now you have your min. rep (I just upvoted your question :-)
Aug
25
awarded  Popular Question
Aug
17
awarded  Popular Question
Aug
7
awarded  Popular Question
Aug
3
accepted Worked examples of applying Ito's lemma
Jul
31
awarded  Popular Question
Jul
30
awarded  Notable Question
Jul
26
comment How to find optimal look back in quant trading models
@user2763361 The OP is not referring to indicators as such but to lookback lenghts of indicators (this is even the title of the question). Furthermore he is not talking about models that work for multiple lookbacks (you made this up) but about optimising lookback periods in the range of very long and very short (he mentions that explicitly). A model will not be finalized until you haven't decided on all parameters used (lookback period being one of them). So at best you are addressing a completely different question.
Jul
25
comment How to find optimal look back in quant trading models
@user2763361: The only one who is talking about "variable selection" is you. Why should optimising other parameters (like lookback periods) be any better? And why should something that is a statistical problem in low frequency trading magically vanish in the HF domain?!?
Jul
24
answered How to find optimal look back in quant trading models
Jul
21
comment Worked examples of applying Ito's lemma
+1: Thank you, could you please also give a source
Jul
21
asked Worked examples of applying Ito's lemma
Jul
15
revised Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
added 113 characters in body
Jul
15
comment Why Ito calculus?
@amlrg: Thank you :-)
Jul
13
awarded  Sportsmanship
Jul
13
comment Why Ito calculus?
+1: The martingale property of the Ito integral is another important point indeed.