8,990 reputation
12877
bio website
location Aschaffenburg, Germany
age 44
visits member for 3 years, 8 months
seen 6 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
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!
Jun
6
revised How to estimate real-world probabilities
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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