8,751 reputation
12571
bio website
location Aschaffenburg, Germany
age 44
visits member for 3 years, 5 months
seen 30 mins 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
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!
Jun
6
revised How to estimate real-world probabilities
added 36 characters in body
Jun
6
comment Successfull applications of Chaos Theory in Quant Finance
@Probilitator: You are very welcome... so why not just accepting my answer ;-)))
Jun
6
revised How to estimate real-world probabilities
added 190 characters in body
Jun
6
revised Quant teams predicting the World Cup
edited body; edited title
Jun
6
asked Quant teams predicting the World Cup
Jun
6
comment Tools/R code for predicting Dragon-Kings
@Downvoter: Could you at least give a hint why you downvoted? Thank you!
Jun
5
revised Why shrink the covariance matrix?
added 149 characters in body
Jun
5
answered Why shrink the covariance matrix?
Jun
3
comment Modelling driftless stock price with geometric Brownian motion
@Bach: Try this one: en.wikipedia.org/wiki/Risk-neutral_measure