vonjd
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12,409
99/100 score
 Jul 2 comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods? @LazyCat: Thank you, please see my addendum. Jul 2 revised Why does [dz(t)]^2 converge to dt over infinitesimally short time periods? added 837 characters in body Jul 2 comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods? @LazyCat: Sorry to disagree: The OP asks for some understanding why $[dz(t)]^2$ converges to $dt$, i.e. why a stochastic process, which is a martingale, gives a deterministic function which rises with time when you square it - this is exactly what I address on an intuitive level. Jul 2 awarded Inquisitive Jul 2 awarded Curious Jul 2 comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods? @user2142: Sorry to disagree: The OP asks for some understanding why $[dz(t)]^2$ converges to $dt$, i.e. a stochastic process, which is a martingale, gives a deterministic function which rises with time when you square it - this is exactly what I address on an intuitive level. Jul 2 comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods? @user2142: Fair question, see my answer :-) Jul 2 revised Why does [dz(t)]^2 converge to dt over infinitesimally short time periods? added 126 characters in body Jul 2 answered Why does [dz(t)]^2 converge to dt over infinitesimally short time periods? Jul 1 comment Regime-Switching Model for detecting market shifts If my answer did help you it is good practice here to upvote and accept it - thank you :-) Jun 30 comment Plot Evolution of portfolio weights over time in R @user3481555: Great, that sounds good. Unfortunately you cannot post your answer because the question is closed. Anyway: It is considered good practice here to vote and accept helpful answers - Thank you :-) Jun 30 comment Plot Evolution of portfolio weights over time in R Although the question has been closed you can still upvote my answer and accept it if it was helpful - Thank you :-) Jun 30 answered Plot Evolution of portfolio weights over time in R Jun 30 comment Plot Evolution of portfolio weights over time in R Could you please provide more information like e.g. code, an example matrix with the weights etc.? Jun 27 comment Regime-Switching Model for detecting market shifts @emcor: I don't have any inside information, only what is publicly available. Jun 27 comment Regime-Switching Model for detecting market shifts @emcor: No, not necessarily. Mark Kritzman is also a lecturer at MIT and has published a lot of other interesting research papers over the years. In general I think the more qualified quants are the less secretive they are about their ideas (because they develop superior new ideas all the time). Jun 25 answered Regime-Switching Model for detecting market shifts Jun 12 comment Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians Thank you and +1. You say "It is easy to show" - could you please do so or give a reference? Jun 10 accepted Quant teams predicting the World Cup Jun 9 comment Quant teams predicting the World Cup Great, thank you!