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location Aschaffenburg, Germany
age 45
visits member for 4 years, 2 months
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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


May
6
comment How to test the efficiency of Exponential Moving Averages as a trading startegy?
@user5257: Yet you can accept my answer anyway :-)
May
6
comment How to test the efficiency of Exponential Moving Averages as a trading startegy?
@user5257: How do you do your backtests normally?
May
6
comment How to test the efficiency of Exponential Moving Averages as a trading startegy?
@user5257: I think you can backtest it like any other strategy, there is no speciality about it really.
May
6
comment How to test the efficiency of Exponential Moving Averages as a trading startegy?
I reckon the OP means trading strategies based on signals when moving averages cross either other MAs or the price chart itself - like in Mebane Faber's famous paper.
May
6
answered How to test the efficiency of Exponential Moving Averages as a trading startegy?
May
5
answered How to implement Maximum Diversification in R?
Apr
30
comment In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$?
Aren't you confusing two things here? Risk neutral means that μ=r, the "-1/2 σ^2" is due to the change from symmetric returns to skewed prices.
Apr
29
comment How to simulate correlated Geometric brownian motion for n assets?
Very warm welcome to quant.stackexchange :-) If you found the answer useful you can accept it - Thank you
Apr
28
comment Time Varying Volatility
Agreed, we are talking about positive autocorrelation here.
Apr
28
comment Time Varying Volatility
Agreed, we are talking about positive autocorrelation here.
Apr
28
revised Time Varying Volatility
added 3 characters in body
Apr
28
comment Time Varying Volatility
Can you back up this claim? Heteroscedasticity is nothing but volatility clustering which is caused by autocorrelated volatility. See e.g. this paper proba.jussieu.fr/pageperso/ramacont/papers/clustering.pdf (p. 1-2).
Apr
28
comment Time Varying Volatility
@cf16: Can you back up this claim? Heteroscedasticity is nothing but volatility clustering which is caused by autocorrelated volatility. See e.g. this paper proba.jussieu.fr/pageperso/ramacont/papers/clustering.pdf (p. 1-2).
Apr
28
comment Time Varying Volatility
Autocorrelated volatility implies heteroskedacity.
Apr
28
comment Time Varying Volatility
But autocorrelated volatility implies heteroskedacity.
Apr
26
answered Time Varying Volatility
Apr
24
answered How to simulate correlated Geometric brownian motion for n assets?
Apr
24
reviewed Approve How is the MESA sine wave calculated?
Apr
24
answered In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$?
Apr
16
comment PCA Variances and Principal Portfolio Variances
You could also try to contact Attilio directly - he is quite accessible.