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visits member for 3 years, 8 months
seen Oct 17 at 7:54

Jan
11
comment Has high frequency trading (HFT) been a net benefit or cost to society?
It definitely has been a benefit for exhanges, that have made millions in trading fees
Jan
5
answered How do you remove expected returns from asset allocation strategies?
Jan
3
comment Why a self-financing replicating portfolio should always exist?
in theory, yes, but then you need to readjust your position dynamically intraday and very often the cost and slippage of this replication will be so high that in practice it doesn't work.
Jan
2
comment What is the intuition behind cointegration?
@user40 A Drunk, Her Dog and A Boyfriend econ.canterbury.ac.nz/downloads/amstat.pdf
Jan
2
revised Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
removed comment in the question
Dec
30
revised Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
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Dec
30
revised Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
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Dec
30
asked Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
Nov
8
comment time series management system
what about building your own framework? It is not so complex. A relational database with different field per time serie revision will do the last trick
Oct
25
comment Should cointegration be tested using close or adjusted close prices?
@Freewind investopedia.com/terms/t/totalreturn.asp#axzz1bmKQrATU
Oct
25
answered Is there a quantitative finance ranking system for universities?
Oct
13
comment How to detect regime change when estimating asset correlation from historical time series?
of course, garch is implemented in several R packages
Jul
25
comment Why would an investor trade a variance swap over a volatility swap?
How do you explain that since 2008 single stock vol swaps are more quoted than their var cousins?
Jul
24
revised Why would an investor trade a variance swap over a volatility swap?
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Jul
24
answered Why would an investor trade a variance swap over a volatility swap?
Jul
18
comment Obtaining characteristics of stochastic model solution
$F_t$ is the natural filtration $F_t=\{S_i\}_{i=0..t}$
Jul
18
comment Obtaining characteristics of stochastic model solution
Hi guys, sorry I was not there during the we. Indeed $$ \frac{1}{2}e^{kt}\frac{1}{S^2_t}(dS_t)^2 = \frac{1}{2}e^{kt}(\frac{dS_t}{S_t})^2 = e^{kt}\frac{\sigma^2}{2}dt + o(dt) $$
Jul
18
answered How to calculate expected return based on historical data for Mean Variance Analysis
Jul
15
comment Obtaining characteristics of stochastic model solution
@Gortaur: indeed, there was a $e^{kt}$ missing in the stochastic part
Jul
15
revised Obtaining characteristics of stochastic model solution
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