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Sep
24
answered Kurtosis in asset logarithmic returns
Sep
24
comment Where do quants get historical FOMC meetings events for backtesting?
We tried to give you the best answer possible so it would be fair if you could upvote and accept - Thank you :-)
Sep
23
comment Why Drifts are not in the Black Scholes Formula
+1: This is why some authors differentiate between option pricing and option valuation. The first being on the sell side, the latter on the buy side.
Sep
18
revised Where do quants get historical FOMC meetings events for backtesting?
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Sep
18
answered Where do quants get historical FOMC meetings events for backtesting?
Sep
9
awarded  Enlightened
Sep
7
comment How to use physics models in Time Series Analysis and Forecasting.
not a "physician" or not a "physicist" ;-)
Aug
23
revised Papers about backtesting option trading strategies
added 1 character in body
Aug
23
revised What mathematical models did Harry Markopolos run to prove that Bernie Madoff 1% a month gain was a Ponzi scheme?
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Aug
21
comment Machine Learning vs Regression and/or Why still use the latter?
"That said, I am continually and consistently underwhelmed when I hear of the research methods of low frequency quant funds." - So true ;-)
Aug
21
answered Machine Learning vs Regression and/or Why still use the latter?
Aug
19
comment Gain/loss-asymmetry in artificial financial markets?
Well, both effects are not the same but they are closely linked, so I upvoted and accepted the answer. Thank you.
Aug
19
accepted Gain/loss-asymmetry in artificial financial markets?
Aug
18
revised What mathematical models did Harry Markopolos run to prove that Bernie Madoff 1% a month gain was a Ponzi scheme?
edited tags
Aug
18
answered What mathematical models did Harry Markopolos run to prove that Bernie Madoff 1% a month gain was a Ponzi scheme?
Aug
17
awarded  Nice Question
Aug
4
comment Tools/R-code to create gain/loss-asymmetry plots
Thank you. Although this is still different I think it is interesting in its own right, so I upvoted and accepted the answer. When I understand it correctly the original plot sets a return level (e.g. 5%) and counts the number of periods (of all possible periods) that you need to reach it (so how many 1-day periods, 2-day periods, ... 10-day periods and so on). It then calculates a density based on that distribution. The result is the above chart. (more can be found in the papers I linked to in my question).
Aug
4
accepted Tools/R-code to create gain/loss-asymmetry plots
Aug
3
comment Tools/R-code to create gain/loss-asymmetry plots
I think the problem is that you need the lengths of all possible windows until you reach the respective return level for each. I still cannot see how this approach might help you with this.
Jul
31
comment Tools/R-code to create gain/loss-asymmetry plots
Could you please elaborate on this because I don't quite see how this could help - Thank you