meta user
network profile
| bio | website | |
|---|---|---|
| location | Frankfurt, Germany | |
| age | 43 | |
| visits | member for | 2 years, 3 months |
| seen | 11 mins ago | |
| stats | profile views | 435 |
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
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2d |
comment |
What's the first time-integral of price called? @Tom: Price of what? Derivatives are called that way for a reason. |
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2d |
answered | What's the first time-integral of price called? |
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May 16 |
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Is it random walk? It is good practice here to share your idea, meaning: Show any work and progress that you have done/made yourself. |
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May 15 |
awarded | Notable Question |
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May 6 |
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How to test the efficiency of Exponential Moving Averages as a trading startegy? @user5257: Yet you can accept my answer anyway :-) |
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May 6 |
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How to test the efficiency of Exponential Moving Averages as a trading startegy? @user5257: How do you do your backtests normally? |
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May 6 |
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How to test the efficiency of Exponential Moving Averages as a trading startegy? @user5257: I think you can backtest it like any other strategy, there is no speciality about it really. |
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May 6 |
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How to test the efficiency of Exponential Moving Averages as a trading startegy? I reckon the OP means trading strategies based on signals when moving averages cross either other MAs or the price chart itself - like in Mebane Faber's famous paper. |
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May 6 |
answered | How to test the efficiency of Exponential Moving Averages as a trading startegy? |
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May 5 |
answered | How to implement Maximum Diversification in R? |
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Apr 30 |
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In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$? Aren't you confusing two things here? Risk neutral means that μ=r, the "-1/2 σ^2" is due to the change from symmetric returns to skewed prices. |
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Apr 29 |
reviewed | Approve suggested edit on Wich online Forex Brokers accept connections with black box solutions developed in visual basic? |
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Apr 29 |
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How to simulate correlated Geometric brownian motion for n assets? Very warm welcome to quant.stackexchange :-) If you found the answer useful you can accept it - Thank you |
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Apr 28 |
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Time Varying Volatility Agreed, we are talking about positive autocorrelation here. |
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Apr 28 |
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Time Varying Volatility Agreed, we are talking about positive autocorrelation here. |
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Apr 28 |
revised |
Time Varying Volatility added 3 characters in body |
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Apr 28 |
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Time Varying Volatility Can you back up this claim? Heteroscedasticity is nothing but volatility clustering which is caused by autocorrelated volatility. See e.g. this paper proba.jussieu.fr/pageperso/ramacont/papers/clustering.pdf (p. 1-2). |
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Apr 28 |
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Time Varying Volatility @cf16: Can you back up this claim? Heteroscedasticity is nothing but volatility clustering which is caused by autocorrelated volatility. See e.g. this paper proba.jussieu.fr/pageperso/ramacont/papers/clustering.pdf (p. 1-2). |
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Apr 28 |
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Time Varying Volatility Autocorrelated volatility implies heteroskedacity. |
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Apr 28 |
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Time Varying Volatility But autocorrelated volatility implies heteroskedacity. |
