8,873 reputation
12775
bio website
location Aschaffenburg, Germany
age 44
visits member for 3 years, 7 months
seen 1 hour 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


Jan
30
comment How to detect structural breaks in variance?
@Dail: Done :-) Thank you
Jan
30
revised How to detect structural breaks in variance?
added 548 characters in body
Jan
29
revised What are the options for a mathematician to break into QF without working for a fund?
added 1222 characters in body
Jan
29
answered What are the options for a mathematician to break into QF without working for a fund?
Jan
28
comment What are some good technical and non-technical books for a math lover to get in to quantitative analysis?
I think we are now (two years later!) stable enough to reopen it - I voted for it.
Jan
28
comment What should be considered when selecting a windowing function when smoothing a time series?
@babelproofreader: But you can accept an answer anyway :-)
Jan
28
comment Code for Evidence Based Technical Analysis
@user2936: You can accept one of the answers if you are satisfied by it :-)
Jan
28
comment Markowitz mean-variance optimization as “error maximization”
@user2921: You can accept one of the answers if you are satisfied by it :-)
Jan
28
comment What is the Sugihara Trading System?
@asmaier: You can accept one of the answers if you are satisfied by it :-)
Jan
28
comment What does put-call parity imply about option premiums?
You can accept one of the answers if you are satisfied by it :-)
Jan
28
comment What is the average Sharpe ratio of volatility arbitrage funds?
@Alan: You can accept one of the answers if you are satisfied by it :-)
Jan
28
comment How to detect structural breaks in variance?
@Dail: There is another one - I did a few tests and it seems to do its job: cran.r-project.org/web/packages/cpm/index.html
Jan
28
comment Can the futures market's open interest predict commodity, treasury, and equity returns?
@RalphWinters: You can accept one of the answers if you are satisfied by it :-)
Jan
28
comment Excellent information source on advanced machine learning / data mining based trading?
@Flake: You can accept one of the answers if you are satisfied by it :-)
Jan
28
comment How does the “risk-neutral pricing framework” work?
@ChloeRadshaw: You can accept one of the answers if you are satisfied by it :-)
Jan
28
comment Any research paper on stop loss?
@Siddharth: You can accept the answer if you are satisfied by it :-)
Jan
28
comment What types of neural networks are most appropriate for trading?
@phoenix1886: You can accept one of the answers if you are satisfied by it :-)
Jan
27
comment How to detect structural breaks in variance?
Thank you, redis - I updated the link in my answer.
Jan
27
revised How to detect structural breaks in variance?
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Jan
27
asked Topological methods in finance