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Jun
27
comment Regime-Switching Model for detecting market shifts
@emcor: I don't have any inside information, only what is publicly available.
Jun
27
comment Regime-Switching Model for detecting market shifts
@emcor: No, not necessarily. Mark Kritzman is also a lecturer at MIT and has published a lot of other interesting research papers over the years. In general I think the more qualified quants are the less secretive they are about their ideas (because they develop superior new ideas all the time).
Jun
25
answered Regime-Switching Model for detecting market shifts
Jun
12
comment Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians
Thank you and +1. You say "It is easy to show" - could you please do so or give a reference?
Jun
10
accepted Quant teams predicting the World Cup
Jun
9
comment Quant teams predicting the World Cup
Great, thank you!
Jun
6
revised How to estimate real-world probabilities
added 36 characters in body
Jun
6
comment Successfull applications of Chaos Theory in Quant Finance
@Probilitator: You are very welcome... so why not just accepting my answer ;-)))
Jun
6
revised How to estimate real-world probabilities
added 190 characters in body
Jun
6
revised Quant teams predicting the World Cup
edited body; edited title
Jun
6
asked Quant teams predicting the World Cup
Jun
6
comment Tools/R code for predicting Dragon-Kings
@Downvoter: Could you at least give a hint why you downvoted? Thank you!
Jun
5
revised Why shrink the covariance matrix?
added 149 characters in body
Jun
5
answered Why shrink the covariance matrix?
Jun
3
comment Modelling driftless stock price with geometric Brownian motion
@Bach: Try this one: en.wikipedia.org/wiki/Risk-neutral_measure
Jun
3
awarded  Famous Question
Jun
2
comment trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be?
I think it would be helpful if you posted (parts) of your code.
Jun
2
comment Modelling driftless stock price with geometric Brownian motion
Didn't you say that you 'wanted' a $1$?
Jun
2
comment Modelling driftless stock price with geometric Brownian motion
Mathematica says that it evaluates to $0$.
May
28
comment Successfull applications of Chaos Theory in Quant Finance
+1: You were faster with this one ;-)