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Feb
25
revised How to approximate the time to mean reversion for implied volatility
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Feb
25
comment How to approximate the time to mean reversion for implied volatility
@LazyCat: Probably but I honestly don't know.
Feb
25
revised How to approximate the time to mean reversion for implied volatility
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Feb
25
answered How to approximate the time to mean reversion for implied volatility
Feb
25
comment Why a calendar spread is a preferred strategy in a low volatility period
@Victor123: Historical vol is the realized vol over a given time period. If you really want to dive into the matter you have to start with option pricing theory. Two very basic, yet good books are the following: books.google.de/… and books.google.de/…
Feb
25
revised Correctly applying GARCH in Python
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Feb
25
revised Why a calendar spread is a preferred strategy in a low volatility period
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Feb
25
revised Why a calendar spread is a preferred strategy in a low volatility period
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Feb
25
answered Why a calendar spread is a preferred strategy in a low volatility period
Feb
24
comment Markowitz Mean-Variance Implied Returns
Indeed, references are always appreciated ;-) ..."I have a working paper"...
Feb
24
comment hedging correlated instruments
While you cannot maximize return and minimize risk at the same time I think what you mean sounds like optimizing your sharpe ratio in a mean-variance-framework. Are you aware of Modern portfolio theory: en.wikipedia.org/wiki/Modern_portfolio_theory ?
Feb
24
comment hedging correlated instruments
I am asking you! How do you define risk?
Feb
24
comment hedging correlated instruments
What exactly do you want to hedge? It sounds a little bit as if you were just talking about classical portfolio optimization which makes use of the covariance matrix.
Feb
24
comment Non-Negative Matrix Factorization - Estimating the Mean
Please clarify which mean you want to estimate - Thank you
Feb
24
comment De-annualizing a target alpha return
@Monduras: See e.g. here: en.wikipedia.org/wiki/Rate_of_return#Annualisation - you have to take into account the def. of basis points though! If this did help you please accept my answer - thank you :-)
Feb
24
comment Why does the volatility smile flatten as maturities increase?
I don't see how this could work: In a BS world you have infinitessimally many price paths aggregated at every time step - this is why you have, due to the CLT, a Gaussian distribution everywhere. I don't see how you could get a Gaussian that is even more Gaussian. Now, looking at the smile (and at real return data) we see that they are obviously not Gaussian. Why? Who knows, most probably because the CLT can't be used because of autocorrelation and ill-defined variance. When the CLT doesn't hold it cannot hold more at later timesteps. So either way I don't see how this could work.
Feb
24
answered Why does the volatility smile flatten as maturities increase?
Feb
24
revised De-annualizing a target alpha return
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Feb
24
comment De-annualizing a target alpha return
A very warm welcome to Quant.SE and thank you for your question. This community lives on feedback so if the answers provided here did help you please feel free to upvote and accept them - Thank you :-)
Feb
24
answered De-annualizing a target alpha return