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Jul
19
reviewed Approve Convexity adjustment
Jul
18
reviewed Approve Definition of risk factors for market risk scenario testing
Jul
18
comment How to tune Kalman filter's parameter?
+1 Are you working with Kalman filters yourself, Matt?
Jul
16
comment Estimating investor's utility from the trades data
If you liked my answer you could upvote and accept it - Thank you :-)
Jul
16
comment Innovative ways of visualizing financial data
@Jagra: If you made an answer out of this comment I would definitely vote it up! Thank you for sharing.
Jul
16
answered What is the smart way to reallocate money?
Jul
16
comment Convexity adjustment
I think it is not the aim of this community to "guess questions" ...voting to close.
Jul
16
comment Convexity adjustment
My thoughts are that I am missing a concrete question.
Jul
15
comment Tools/R code for predicting Dragon-Kings
He encrypts it because people accused him of being the reason markets fell after he published the forecast (= self fulfilling prophecy). And I don't believe it at face value either - this is why I want to conduct experiments of my own and this is why I posted the question in the first place. I am a permasceptic like you are!
Jul
14
comment Tools/R code for predicting Dragon-Kings
@MattWolf: Yes and no: In general I am with you in being überskeptical yet this guy from ETH Zürich (!) regularly publishes encrypted forecasts of crashes on Arxiv and decryptes them to proof that his method works. See e.g. his TED talk: youtube.com/watch?v=C_eFjLZqXt8 - there are also many Google references to be found.
Jul
14
reviewed Approve bootstrap tag wiki
Jul
12
comment Predict Market Direction, What is forecastable/unforecastable?
@user1673806: If you liked one of the answers best you can accept it - Thank you :-)
Jul
12
revised Tools/R code for predicting Dragon-Kings
added 5 characters in body; edited title
Jul
12
asked Tools/R code for predicting Dragon-Kings
Jul
10
comment Typical risk aversion parameter value for mean-variance optimization?
@J Li: If you liked my answer you can upvote and accept it - Thank you :-)
Jul
9
comment Typical risk aversion parameter value for mean-variance optimization?
Please read the paper first: On page 29 it e.g. says: "The mean-variance solution in equation (10) turns out to be the same as CRRA utility (see equation (1)) if returns are log-normally distributed. This is one sense that mean-variance and CRRA are the same."
Jul
8
comment Practical quantitative finance problems that could be solved in trustless grid computing environment?
Would encryption as a remedy qualify?
Jul
7
answered Typical risk aversion parameter value for mean-variance optimization?
Jul
7
comment Typical risk aversion parameter value for mean-variance optimization?
Shouldn't it be "-" the variance term?!?
Jul
7
comment How to numerically obtain delta?
@JohnAndrews: If you liked my answer would you please accept it, otherwise half of the bounty will be lost. Thank you :-)