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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 2 years, 3 months |
| seen | May 14 at 5:35 | |
| stats | profile views | 146 |
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Jul 24 |
answered | Why would an investor trade a variance swap over a volatility swap? |
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Jul 18 |
comment |
Obtaining characteristics of stochastic model solution $F_t$ is the natural filtration $F_t=\{S_i\}_{i=0..t}$ |
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Jul 18 |
comment |
Obtaining characteristics of stochastic model solution Hi guys, sorry I was not there during the we. Indeed $$ \frac{1}{2}e^{kt}\frac{1}{S^2_t}(dS_t)^2 = \frac{1}{2}e^{kt}(\frac{dS_t}{S_t})^2 = e^{kt}\frac{\sigma^2}{2}dt + o(dt) $$ |
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Jul 18 |
answered | How to calculate expected return based on historical data for Mean Variance Analysis |
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Jul 15 |
comment |
Obtaining characteristics of stochastic model solution @Gortaur: indeed, there was a $e^{kt}$ missing in the stochastic part |
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Jul 15 |
revised |
Obtaining characteristics of stochastic model solution added 172 characters in body |
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Jul 15 |
revised |
Obtaining characteristics of stochastic model solution added 17 characters in body |
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Jul 15 |
asked | Obtaining characteristics of stochastic model solution |
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Jul 12 |
comment |
How to calculate expected return based on historical data for Mean Variance Analysis @miggety: There is no one best technique to forecast returns. It is the most difficult part of your model. Some take discretionary decisions, others trust machine learning like god. There is a lot of different things to explore. And yes definitely time series analysis is a good basis for this problem. Good luck |
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Jul 12 |
awarded | Altruist |
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Jul 11 |
awarded | Nice Question |
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Jul 11 |
comment |
Measuring liquidity @shane. If you hit the quote, there is a trade, no? Maybe there is no depth if you are able to trade only one unit, but I think that if there is a quote for both bid and ask and the spread is small it means that the market is there |
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Jul 8 |
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How to calculate expected return based on historical data for Mean Variance Analysis Even if it is not precisely the question, I think the question raises another issue, which is "Does past returns provide a good estimate of future returns?" These protfolio allocation algos are good but IMO it is a bit easy to assume that we have a good estimate of the returns. If you give me a good estimate of the future return, let me manage your money, its not too hard. Rather than focusing on that, shouldn't we focus on how to forecast returns? |
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Jul 5 |
comment |
DSP: stationary non-periodic signal: what's the best causal technique? Have you managed to implement some causal versions of wavelets with success? |
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Jul 5 |
revised |
DSP: stationary non-periodic signal: what's the best causal technique? deleted 73 characters in body |
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Jul 5 |
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DSP: stationary non-periodic signal: what's the best causal technique? Wavelet is not a causal technique. there is a huge boundery effect due to the selection of either "reflection" of "periodic" |
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Jul 5 |
awarded | Investor |
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Jun 30 |
accepted | Mean reverting strategies |
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Jun 30 |
comment |
Question about Gravity model of International trade @Zarbouzou: I am afraid you have a very narrow view of quantitative finance. |
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Jun 29 |
answered | Measuring liquidity |
