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Aug
23
revised Papers about backtesting option trading strategies
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Aug
23
revised What mathematical models did Harry Markopolos run to prove that Bernie Madoff 1% a month gain was a Ponzi scheme?
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Aug
21
comment Machine Learning vs Regression and/or Why still use the latter?
"That said, I am continually and consistently underwhelmed when I hear of the research methods of low frequency quant funds." - So true ;-)
Aug
21
answered Machine Learning vs Regression and/or Why still use the latter?
Aug
19
comment Gain/loss-asymmetry in artificial financial markets?
Well, both effects are not the same but they are closely linked, so I upvoted and accepted the answer. Thank you.
Aug
19
accepted Gain/loss-asymmetry in artificial financial markets?
Aug
18
revised What mathematical models did Harry Markopolos run to prove that Bernie Madoff 1% a month gain was a Ponzi scheme?
edited tags
Aug
18
answered What mathematical models did Harry Markopolos run to prove that Bernie Madoff 1% a month gain was a Ponzi scheme?
Aug
17
awarded  Nice Question
Aug
4
comment Tools/R-code to create gain/loss-asymmetry plots
Thank you. Although this is still different I think it is interesting in its own right, so I upvoted and accepted the answer. When I understand it correctly the original plot sets a return level (e.g. 5%) and counts the number of periods (of all possible periods) that you need to reach it (so how many 1-day periods, 2-day periods, ... 10-day periods and so on). It then calculates a density based on that distribution. The result is the above chart. (more can be found in the papers I linked to in my question).
Aug
4
accepted Tools/R-code to create gain/loss-asymmetry plots
Aug
3
comment Tools/R-code to create gain/loss-asymmetry plots
I think the problem is that you need the lengths of all possible windows until you reach the respective return level for each. I still cannot see how this approach might help you with this.
Jul
31
comment Tools/R-code to create gain/loss-asymmetry plots
Could you please elaborate on this because I don't quite see how this could help - Thank you
Jul
30
awarded  Popular Question
Jul
30
revised Tools/R code for predicting Dragon-Kings
edited tags
Jul
30
comment Why do stocks fall so quickly? Technical explanations
If you found one of the answers helpful it would be great if you could upvote and accept it - Thank you :-)
Jul
30
revised How is stock data objectively different to this random walk?
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Jul
30
revised Tools/R-code to create gain/loss-asymmetry plots
added 35 characters in body
Jul
30
asked Tools/R-code to create gain/loss-asymmetry plots
Jul
29
asked Gain/loss-asymmetry in artificial financial markets?