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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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Jul
15
revised Obtaining characteristics of stochastic model solution
added 17 characters in body
Jul
15
asked Obtaining characteristics of stochastic model solution
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
Jul
12
awarded  Altruist
Jul
11
awarded  Nice Question
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
Jul
8
comment 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?
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?
Jul
5
revised DSP: stationary non-periodic signal: what's the best causal technique?
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Jul
5
comment 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"
Jul
5
awarded  Investor