8,990 reputation
12878
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location Aschaffenburg, Germany
age 44
visits member for 3 years, 8 months
seen 15 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


Jul
11
comment Martingale Stock Prices
@CagdasOzgenc: Do you have any recent evidence (data, papers...) that show that the effect has disappeared?
Jul
11
comment Martingale Stock Prices
Yes and no: Empirical evidence suggests that the mean is also (negatively) affected in high vol regimes.
Jul
11
revised Martingale Stock Prices
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Jul
11
comment Martingale Stock Prices
No, they are not Markovian either. A good counterexample is volatility clustering which has to take into account more than the last price and it adds considerable information regarding the future probability distribution of prices.
Jul
11
revised Martingale Stock Prices
edited tags
Jul
11
answered Martingale Stock Prices
Jul
9
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
@RobertoLiebscher: I am glad you liked it :-) If there is anything is else I can do for you, please let me know. Otherwise I would be happy if you accepted my answer :-) Thank you
Jul
7
comment Non-linear Dynamical Systems and Quantitave Finance
@rwolst: See my edit.
Jul
7
revised Non-linear Dynamical Systems and Quantitave Finance
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Jul
7
comment Non-linear Dynamical Systems and Quantitave Finance
@rwolst: Ok, then you should modify your question accordingly because it wasn't clear what exactly you were looking for. I will see what I can do for you to give you more references.
Jul
6
revised Non-linear Dynamical Systems and Quantitave Finance
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Jul
6
revised Non-linear Dynamical Systems and Quantitave Finance
added 757 characters in body
Jul
6
revised Non-linear Dynamical Systems and Quantitave Finance
edited tags
Jul
6
answered Non-linear Dynamical Systems and Quantitave Finance
Jul
3
comment Does Implied Volatility always exist?
These are two completely separate questions - I suggest you form two separate questions out of it!
Jul
3
comment Johansen-Ledoit-Sornette Model
I get an error that the max. number of iterations was exceeded?!?
Jul
2
comment Mysterious disappearance of options from historical datasets
@Downvoters and closevoters: Please give a reason and/or some ideas how to improve the question - thank you!
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
Well, my addendum connects my discrete intuition with the continuous case. Because you don't agree with my discrete intuition but have no alternative one I still cannot see how your answer relates to the question. Some clarification would be great. Thank you.
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
In any case you should expand your answer because as it stands it is unclear how it relates to the question (at least to me).
Jul
2
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
@LazyCat: Thank you, please see my addendum.