8,212 reputation
2367
bio website
location Aschaffenburg, Germany
age 44
visits member for 3 years, 2 months
seen 4 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


Sep
24
awarded  Nice Answer
Sep
13
awarded  Nice Answer
Sep
12
awarded  Nice Answer
Sep
8
revised Deutsche Börse sample Level 2 data, how to view in Windows?
edited title
Sep
7
awarded  Good Answer
Aug
21
answered What are some quantitative approaches to value investment?
Aug
21
comment Partial Least Squares Discriminant Analysis
@Downvoter: It is customary here to give a reason for the downvote and perhaps a hint how to improve the answer - Thank you :-)
Aug
20
awarded  Notable Question
Aug
15
comment Testing Valuation, Size and Momentum (proprietary factors) from 1988-2013: No evidence of driving cross-sectional returns
This is interesting... Would you be prepared to publish the code (I suppose you do it in R)?
Aug
13
comment Is HMM of Volatility any different from a simple filter?
@user2675052: Thank you, I would appreciate if you could upvote and accept my answer then :-)
Aug
13
answered Partial Least Squares Discriminant Analysis
Aug
12
answered Is HMM of Volatility any different from a simple filter?
Aug
11
comment R: Fast and efficient way of running a multivariate regression across a (really) large panel (First pass of Fama MacBeth)
+1: Seems to be an interesting package for Big Data applications with R.
Aug
9
reviewed Approve suggested edit on FIGARCH estimation in R
Aug
7
reviewed Approve suggested edit on Risk Parity portfolio construction
Aug
6
answered Why are regressors squared and not ^1.5 or ^2.2 or ^2.5?
Aug
6
accepted Measuring and proxies for leverage in the financial system
Aug
4
comment Measuring and proxies for leverage in the financial system
+1: These are really helpful ideas - Thank you!
Aug
4
answered Are there any new Option pricing models?
Aug
4
asked Measuring and proxies for leverage in the financial system