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Aug
21
comment Machine Learning vs Regression and/or Why still use the latter?
"That said, I am continually and consistently underwhelmed when I hear of the research methods of low frequency quant funds." - So true ;-)
Aug
19
comment Gain/loss-asymmetry in artificial financial markets?
Well, both effects are not the same but they are closely linked, so I upvoted and accepted the answer. Thank you.
Aug
4
comment Tools/R-code to create gain/loss-asymmetry plots
Thank you. Although this is still different I think it is interesting in its own right, so I upvoted and accepted the answer. When I understand it correctly the original plot sets a return level (e.g. 5%) and counts the number of periods (of all possible periods) that you need to reach it (so how many 1-day periods, 2-day periods, ... 10-day periods and so on). It then calculates a density based on that distribution. The result is the above chart. (more can be found in the papers I linked to in my question).
Aug
3
comment Tools/R-code to create gain/loss-asymmetry plots
I think the problem is that you need the lengths of all possible windows until you reach the respective return level for each. I still cannot see how this approach might help you with this.
Jul
31
comment Tools/R-code to create gain/loss-asymmetry plots
Could you please elaborate on this because I don't quite see how this could help - Thank you
Jul
30
comment Why do stocks fall so quickly? Technical explanations
If you found one of the answers helpful it would be great if you could upvote and accept it - Thank you :-)
Jul
22
comment New ways of communicating risk
@BobJansen: I am voting to delete this post, it is not helpful at all!
Jul
21
comment Leverage on ETF the same effect as on portfolio?
Welcome to Quant.SE! Please give an answer to your own question then.
Jul
18
comment Why square root of volatility in Heston model?
In the Heston model you have the square root of variance, not volatility (like in Geometric Brownian motion, but here variance is stochastic too) - please clarify the question. Thank you.
Jul
15
comment Programmer new to the quant world - learning material request
see also quant.stackexchange.com/questions/431/… and quant.stackexchange.com/questions/3/…
Jul
13
comment Fama French model-small market beta (weird)
@Larisa: What I mean is. Are the betas you calculated based on Fama French the same based on CAPM?
Jul
10
comment List of momentum indicators
If one of the answers was helpful it would be great if you could accept it - Thank you :-)
Jul
10
comment How to adapt a Moving Average period to market conditions?
...and answers that just say: google something and 'I have seen some papers' are frowned upon in this community.
Jul
10
comment How to adapt a Moving Average period to market conditions?
Even in random time series you have more 'trends' than you would believe intuitively. Trend following works when there are these 'trends' but fails in all other market environments. See this paper: frankfurt-school.de/clicnetclm/…
Jul
10
comment How to adapt a Moving Average period to market conditions?
The question is how to adapt a MA. Now how does your answer tackle this question? I myself use HMMs in my research but I don't modify MAs with the output, so I don't see the link here.
Jul
8
comment How to adapt a Moving Average period to market conditions?
What makes you think that MAs should work anyway?
Jul
7
comment How to adapt a Moving Average period to market conditions?
Adapt to do what?
Jul
5
comment The greeks: where do they come from?
@ale42: I answered your question about references how to derive the Greeks. Why do you ask something when you mean something else?
Jul
5
comment Why do people always seek finite-variance models for option pricing
Thank you for awarding the bounty to my answer, I really appreciate it. :-)
Jul
3
comment What is the machine learning language of choice in this industry for unsupervised learning
R for both questions