8,731 reputation
12571
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location Aschaffenburg, Germany
age 44
visits member for 3 years, 5 months
seen 8 hours 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


15h
awarded  Sportsmanship
15h
comment Why Ito calculus?
+1: The martingale property of the Ito integral is another important point indeed.
17h
answered Why Ito calculus?
2d
comment Kelly Capital Growth Investment Strategy (Example in R)
Ok, will have a look - thank you for updating the post. Which parts do you think could be critical (where you are not sure whether this is the right way to do it)?
2d
comment Kelly Capital Growth Investment Strategy (Example in R)
Now it runs - what is your exact question? Whether this replicates the algorithm described in the paper?
2d
comment Martingale Stock Prices
@CagdasOzgenc: Do you have any recent evidence (data, papers...) that show that the effect has disappeared?
2d
comment Martingale Stock Prices
Yes and no: Empirical evidence suggests that the mean is also (negatively) affected in high vol regimes.
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revised Martingale Stock Prices
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2d
comment Martingale Stock Prices
No, they are not Markovian either. A good counterexample is volatility clustering which has to take into account more than the last price and it adds considerable information regarding the future probability distribution of prices.
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revised Martingale Stock Prices
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2d
answered Martingale Stock Prices
Jul
9
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
@RobertoLiebscher: I am glad you liked it :-) If there is anything is else I can do for you, please let me know. Otherwise I would be happy if you accepted my answer :-) Thank you
Jul
7
comment Non-linear Dynamical Systems and Quantitave Finance
@rwolst: See my edit.
Jul
7
revised Non-linear Dynamical Systems and Quantitave Finance
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Jul
7
comment Non-linear Dynamical Systems and Quantitave Finance
@rwolst: Ok, then you should modify your question accordingly because it wasn't clear what exactly you were looking for. I will see what I can do for you to give you more references.
Jul
6
revised Non-linear Dynamical Systems and Quantitave Finance
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Jul
6
revised Non-linear Dynamical Systems and Quantitave Finance
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Jul
6
revised Non-linear Dynamical Systems and Quantitave Finance
edited tags
Jul
6
answered Non-linear Dynamical Systems and Quantitave Finance
Jul
3
comment Does Implied Volatility always exist?
These are two completely separate questions - I suggest you form two separate questions out of it!