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22879
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location Aschaffenburg, Germany
age 44
visits member for 3 years, 10 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


14h
revised Is the value also log-normally distributed?
deleted 39 characters in body
17h
comment How to synthesize a futures spread option?
@user6500: It means that you cannot buy a combination of contracts and hold them from beginning to end and thereby completely hedge your option.
17h
accepted Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians
20h
revised Distinction between “risk factor” and “market anomaly”
edited tags
20h
answered Distinction between “risk factor” and “market anomaly”
2d
comment What packages are out there to extract trading signals from time series data
Similar in what respect? Correlated? You don't need a package for that... and btw: package for what programming language? R?
Dec
16
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!
Dec
16
reviewed Approve Can classical economics explain *any* of the so-called stylized facts of finance?
Dec
16
awarded  Electorate
Dec
16
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.
Dec
15
revised Can classical economics explain *any* of the so-called stylized facts of finance?
edited body
Dec
15
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?