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Jul
26
asked Long-term proportion of convex and concave strategies in artificial financial markets
Jul
22
comment New ways of communicating risk
@BobJansen: I am voting to delete this post, it is not helpful at all!
Jul
21
comment Leverage on ETF the same effect as on portfolio?
Welcome to Quant.SE! Please give an answer to your own question then.
Jul
18
awarded  Good Question
Jul
18
comment Why square root of volatility in Heston model?
In the Heston model you have the square root of variance, not volatility (like in Geometric Brownian motion, but here variance is stochastic too) - please clarify the question. Thank you.
Jul
15
revised Programmer new to the quant world - learning material request
edited tags
Jul
15
comment Programmer new to the quant world - learning material request
see also quant.stackexchange.com/questions/431/… and quant.stackexchange.com/questions/3/…
Jul
13
comment Fama French model-small market beta (weird)
@Larisa: What I mean is. Are the betas you calculated based on Fama French the same based on CAPM?
Jul
12
awarded  Enthusiast
Jul
10
comment List of momentum indicators
If one of the answers was helpful it would be great if you could accept it - Thank you :-)
Jul
10
comment How to adapt a Moving Average period to market conditions?
...and answers that just say: google something and 'I have seen some papers' are frowned upon in this community.
Jul
10
comment How to adapt a Moving Average period to market conditions?
Even in random time series you have more 'trends' than you would believe intuitively. Trend following works when there are these 'trends' but fails in all other market environments. See this paper: frankfurt-school.de/clicnetclm/…
Jul
10
comment How to adapt a Moving Average period to market conditions?
The question is how to adapt a MA. Now how does your answer tackle this question? I myself use HMMs in my research but I don't modify MAs with the output, so I don't see the link here.
Jul
9
answered Why do stocks fall so quickly? Technical explanations
Jul
8
comment How to adapt a Moving Average period to market conditions?
What makes you think that MAs should work anyway?
Jul
7
comment How to adapt a Moving Average period to market conditions?
Adapt to do what?
Jul
5
comment The greeks: where do they come from?
@ale42: I answered your question about references how to derive the Greeks. Why do you ask something when you mean something else?
Jul
5
answered The greeks: where do they come from?
Jul
5
comment Why do people always seek finite-variance models for option pricing
Thank you for awarding the bounty to my answer, I really appreciate it. :-)
Jul
3
revised What are the main market anomalies/inefficiencies detected in quantitative finance?
added 70 characters in body