9,080 reputation
12879
bio website
location Aschaffenburg, Germany
age 44
visits member for 3 years, 9 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


Dec
21
revised Markowitz mean-variance optimization as “error maximization”
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Dec
21
comment Most natural generalization of covariance/correlation to model dependence of extreme events
Interesting - Do you have a reference for that. Thank you
Dec
21
comment Most natural generalization of covariance/correlation to model dependence of extreme events
@vanguard2k, Freddy: Concerning the underlying assumptions have e.g. a look here: symynet.com/fb/quantitative_research_methods/Statistics/…
Dec
21
asked Most natural generalization of covariance/correlation to model dependence of extreme events
Dec
14
revised Option pricing before Black-Scholes
added 870 characters in body
Dec
14
comment What concepts are the most dangerous ones in quantitative finance work?
@Jase: You are right, this was imprecise. I meant that it goes from uncorrelated or even negatively correlated to strongly correlated. So the "uncorrelatedness" vanishes.
Nov
21
accepted When gains are made: Overnight or during trading hours? What is the connection to volatility?
Nov
21
comment When gains are made: Overnight or during trading hours? What is the connection to volatility?
@SRKX: Thank you, my thoughts exactly!
Nov
20
revised portfolio optimization from empirical return distributions
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Nov
20
comment When gains are made: Overnight or during trading hours? What is the connection to volatility?
Thank you, Freddy: Would be great if you could post your R code and/or your detailed results here :-)
Nov
20
answered What is the canonical reference for Minimum Variance Portfolio's uniqueness?
Nov
20
asked When gains are made: Overnight or during trading hours? What is the connection to volatility?
Nov
19
revised R code for Ornstein-Uhlenbeck process
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Nov
19
answered R code for Ornstein-Uhlenbeck process
Nov
18
revised Trading a synthetic replication of the VVIX (volatility of VIX)
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Nov
16
revised Does mean reverting imply mean stationary?
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Oct
24
accepted Connections between random walk and heat equation (Material for ~)
Oct
22
comment Connections between random walk and heat equation (Material for ~)
@x711Li: Yes, this is one of the routes I want to take.
Oct
22
asked Connections between random walk and heat equation (Material for ~)
Oct
18
reviewed Approve suggested edit on What are the common trading systems for hedge fund automated trading?