8,990 reputation
12877
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location Aschaffenburg, Germany
age 44
visits member for 3 years, 8 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


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
Jun
3
awarded  Famous Question
Jun
2
comment trading strategy outperforms passive strategy in absolute terms, but in returns vice versa. how could this be?
I think it would be helpful if you posted (parts) of your code.
Jun
2
comment Modelling driftless stock price with geometric Brownian motion
Didn't you say that you 'wanted' a $1$?
Jun
2
comment Modelling driftless stock price with geometric Brownian motion
Mathematica says that it evaluates to $0$.
May
28
comment Successfull applications of Chaos Theory in Quant Finance
+1: You were faster with this one ;-)
May
28
answered Successfull applications of Chaos Theory in Quant Finance
May
23
comment When to use the real world drift and when the risk neutral one for a Monte-Carlo simulation?
@user12348: Yes, or cannot hedge at all.
May
23
comment When to use the real world drift and when the risk neutral one for a Monte-Carlo simulation?
@Probilitator: Thank you. I wouldn't rule that out, the markets are huge and there is a place for many diverse strategies out there!
May
23
comment Hidden Markov Models methods for selecting optimal number of states
Is there anything else we could do for you? Otherwise it would be great if you could accept the answer given - Thank you :-)
May
23
comment How to model hedge fund returns?
Is there anything else we could do for you? Otherwise it would be helpful if you accepted one of the answers - Thank you :-)
May
23
comment How to model hedge fund returns?
This only links to a log-in screen :-( But anyway: What is your point? You should extend your answer considerably! It is no good fit as it stands.
May
23
comment When to use the real world drift and when the risk neutral one for a Monte-Carlo simulation?
I think "risk-neutrality" is no less controversial...
May
23
answered When to use the real world drift and when the risk neutral one for a Monte-Carlo simulation?
May
19
comment Relationship between Large Cap and Small Cap Volatility
Cross-posted here: wilmott.com/messageview.cfm?catid=38&threadid=96826
May
19
reviewed No Action Needed Why is the Drawdown measure not used for portfolio optimization?
May
19
reviewed No Action Needed Which data service to buy for redistributable data?