8,990 reputation
12878
bio website
location Aschaffenburg, Germany
age 44
visits member for 3 years, 8 months
seen 3 hours 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


Nov
19
answered R code for Ornstein-Uhlenbeck process
Nov
18
revised Trading a synthetic replication of the VVIX (volatility of VIX)
deleted 4 characters in body
Nov
16
revised Does mean reverting imply mean stationary?
deleted 11 characters in body
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?
Oct
3
comment Markowitz mean-variance optimization as “error maximization”
@vanguard2k: I agree, it is a way of saying that the method is super sensitive to inputs and therefore prone to produce errors that can be quite huge.
Sep
21
awarded  Custodian
Sep
20
answered Code for Evidence Based Technical Analysis
Sep
18
comment Markowitz mean-variance optimization as “error maximization”
John: Could you pls. expound on "the nature of the inverse of the covariance matrix" - thank you.
Sep
17
answered Markowitz mean-variance optimization as “error maximization”
Aug
10
awarded  Nice Question
Jul
18
comment Is Arithmetic Return Bias Basis of Low Vol Anomaly?
@EduardoSahione: Have a look at the article from Falkenstein. You could for example test the CAPM for different timeframes and mean bases and see whether and when it holds. You could do the same tests for low vol strategies.
Jul
17
asked Is Arithmetic Return Bias Basis of Low Vol Anomaly?
Jul
7
awarded  Notable Question
Jul
6
revised Debunking risk premium via “hedging” argument? (or why even in the real world $\mu$ should equal $r$)
added 181 characters in body
Jul
6
answered Why should there be an equity risk premium?
Jul
4
comment Volatility pumping in practice
Yes, of course you are right.
Jul
4
comment Volatility pumping in practice
@TheBridge: Now I bought this book and, Yes, it is the same concept.