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


Oct
13
comment Is there anyone still using Markowitz modern portfolio theory?
+1: I see it the same way...
Oct
7
comment Is linear programming important for quant?
Welcome to Quant.SE! Thank you for this question. If you find the answers helpful it would be great if you upvoted them and accepted one of them :-)
Oct
6
comment Is linear programming important for quant?
+1 for covering the P part, see my answer for the Q part :-)
Oct
5
comment Which quantitative tools are actually used for hedging energy price and volume risk?
Dear colleague! Welcome to Quant.SE and thank you for your question. If the answer was helpful upvoting and accepting it is highly appreciated :-)
Oct
1
comment How can I estimate expected maximum drawdown with historical data?
wikipedia is your friend: en.wikipedia.org/wiki/Drawdown_(economics)
Sep
21
comment Solving Black-Scholes PDE using Laplace transform
Welcome to Quant Stackexchange :-) Thank you for your interesting first question. If the answer was helpful you could upvote and accept it :-)
Sep
18
comment In what kind of stochastic process Ito's lemma is adopted?
This is a site for professional quants. Concerning this question: Wikipedia is your friend.
Sep
8
comment Martingale Stock Prices
@Downvoter: It is good practice here to state a reason why you downvoted and/or give advice on how you think the answer could be improved - thank you!
Sep
1
comment When Fed stops QE, Treasury Futures will go down in price, so… LEAP Puts are a good idea?
@user1883050: Now you have your min. rep (I just upvoted your question :-)
Jul
26
comment How to find optimal look back in quant trading models
@user2763361 The OP is not referring to indicators as such but to lookback lenghts of indicators (this is even the title of the question). Furthermore he is not talking about models that work for multiple lookbacks (you made this up) but about optimising lookback periods in the range of very long and very short (he mentions that explicitly). A model will not be finalized until you haven't decided on all parameters used (lookback period being one of them). So at best you are addressing a completely different question.
Jul
25
comment How to find optimal look back in quant trading models
@user2763361: The only one who is talking about "variable selection" is you. Why should optimising other parameters (like lookback periods) be any better? And why should something that is a statistical problem in low frequency trading magically vanish in the HF domain?!?
Jul
21
comment Worked examples of applying Ito's lemma
+1: Thank you, could you please also give a source
Jul
15
comment Why Ito calculus?
@amlrg: Thank you :-)
Jul
13
comment Why Ito calculus?
+1: The martingale property of the Ito integral is another important point indeed.
Jul
11
comment Kelly Capital Growth Investment Strategy (Example in R)
Ok, will have a look - thank you for updating the post. Which parts do you think could be critical (where you are not sure whether this is the right way to do it)?
Jul
11
comment Kelly Capital Growth Investment Strategy (Example in R)
Now it runs - what is your exact question? Whether this replicates the algorithm described in the paper?
Jul
11
comment Martingale Stock Prices
@CagdasOzgenc: Do you have any recent evidence (data, papers...) that show that the effect has disappeared?
Jul
11
comment Martingale Stock Prices
Yes and no: Empirical evidence suggests that the mean is also (negatively) affected in high vol regimes.
Jul
11
comment Martingale Stock Prices
No, they are not Markovian either. A good counterexample is volatility clustering which has to take into account more than the last price and it adds considerable information regarding the future probability distribution of prices.
Jul
9
comment Why does [dz(t)]^2 converge to dt over infinitesimally short time periods?
@RobertoLiebscher: I am glad you liked it :-) If there is anything is else I can do for you, please let me know. Otherwise I would be happy if you accepted my answer :-) Thank you