8,222 reputation
2367
bio website
location Aschaffenburg, Germany
age 44
visits member for 3 years, 2 months
seen 10 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


Aug
6
accepted Measuring and proxies for leverage in the financial system
Apr
11
accepted Topological methods in finance
Mar
21
accepted Examples of investable factors via factor funds/ETFs
Jan
23
accepted Overview of software companies in the industry
Dec
26
accepted Is Arithmetic Return Bias Basis of Low Vol Anomaly?
Dec
24
accepted Most natural generalization of covariance/correlation to model dependence of extreme events
Nov
21
accepted When gains are made: Overnight or during trading hours? What is the connection to volatility?
Oct
24
accepted Connections between random walk and heat equation (Material for ~)
Apr
10
accepted How to calculate the most realistic historical option prices with additional publicly available parameters
Apr
4
accepted Constructing an approximation of the S&P 500 volatility smile with publicly available data
Jan
27
accepted Demonstration of Ito's correction term/lemma in binomial tree
Jan
10
accepted One dimensional analog of cleansing a correlation matrix via random matrix theory
Jan
6
accepted How to test for and how to simulate price rise/fall asymmetry in the stock market
Oct
7
accepted How to build a regime-switching model which knows its own limits?
Sep
16
accepted Duality between constant rebalanced portfolio (CRP) and corresponding derivative
Aug
31
accepted HFT: What is the big differentiator in comparison to other time scales?
Aug
23
accepted Proof that you cannot beat a random walk
Aug
15
accepted How did bans on short-selling affect the derivatives markets?
Aug
9
accepted Indicators and research for stress-based investment strategies
Jul
14
accepted Easiest and most accessible derivation of Black-Scholes formula