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visits member for 3 years, 7 months
seen Sep 17 at 5:53

Aug
25
awarded  Notable Question
Oct
23
comment Why do expected return models and risk models use different factors?
Do you have a reference for the non-diversifiability of the errors-in-variables bias other than Scherer's book?
Jul
24
comment comparing total returns from various data vendors
I also think that this is not a question for a data engineer as the understanding sought is for the business rationale for why the total returns my differ. It is not clear a priori that this might not be due to difference in the quantitative process, e.g. reinvestment at the beginning-of-day vs end-of-day.
Mar
19
awarded  Popular Question
May
2
awarded  Teacher
May
2
answered How to measure investors' “experienced” volatility?
Apr
4
comment Are there canonical test cases for testing of pricing engines
Surely that should be F=S*exp(rt), i.e. no minus?
Mar
27
awarded  Critic
Feb
29
comment How to use volatility to assess the accuracy of a stock market model?
I am also interested in this approach. Do you have published references that you are following or any publicly accessible work of your own?
Feb
29
awarded  Student
Feb
29
asked What are the main differences between discrete and continuous time models when modeling asset price dynamics?
Feb
4
awarded  Supporter