9,080 reputation
12879
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location Aschaffenburg, Germany
age 44
visits member for 3 years, 9 months
seen 1 hour 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
25
comment How to find optimal look back in quant trading models
@user2763361: The only one who is talking about "variable selection" is you. Why should optimising other parameters (like lookback periods) be any better? And why should something that is a statistical problem in low frequency trading magically vanish in the HF domain?!?
Jul
24
answered How to find optimal look back in quant trading models
Jul
21
comment Worked examples of applying Ito's lemma
+1: Thank you, could you please also give a source
Jul
21
asked Worked examples of applying Ito's lemma
Jul
15
revised Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
added 113 characters in body
Jul
15
comment Why Ito calculus?
@amlrg: Thank you :-)
Jul
13
awarded  Sportsmanship
Jul
13
comment Why Ito calculus?
+1: The martingale property of the Ito integral is another important point indeed.
Jul
13
answered Why Ito calculus?
Jul
11
comment Kelly Capital Growth Investment Strategy (Example in R)
Ok, will have a look - thank you for updating the post. Which parts do you think could be critical (where you are not sure whether this is the right way to do it)?
Jul
11
comment Kelly Capital Growth Investment Strategy (Example in R)
Now it runs - what is your exact question? Whether this replicates the algorithm described in the paper?
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
added 171 characters in body
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
added 367 characters in body