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seen Oct 5 at 15:46

Jun
7
reviewed Satisfactory Is vega of Black-Scholes European type option always positive?
Jun
7
reviewed Satisfactory Testing Significance of Correlation
Jun
7
reviewed Excellent In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$?
Jun
7
reviewed Satisfactory How to download risk free rate?
Jun
7
reviewed Excellent Non-arbitrage theory and existence of a risk premium
Jun
7
reviewed Needs Improvement Bond curve extrapolation
Jun
7
reviewed Needs Improvement Transformation to reduce standard deviation without changing median
Apr
5
revised Using variance ratios to test for mean reversion
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Apr
5
comment Using variance ratios to test for mean reversion
I updated my answer to address some of your comments.
Apr
5
revised Using variance ratios to test for mean reversion
extented to clarify and address comments
Apr
5
answered Using variance ratios to test for mean reversion
Mar
30
comment From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?
@CharlesM, as I mentioned in the second point, a good starting point is the work by Obizhaeva and Wang. Following on the papers that cite it (e.g. on google scholar) will give you an idea of where the literature is at.
Mar
29
revised From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?
added 1 characters in body
Mar
2
reviewed Approve suggested edit on How to annualize Sharpe Ratio?
Feb
19
comment Recover full tick data from missing tick data
While interpolation can be useful at medium frequencies, it is hardly useful at the tick level. Arguably most of the information is contained in the fact that the "tick" happened ...
Feb
14
comment What data sources are available online?
Any idea on the cost of access for academic users?
Feb
5
reviewed Reviewed Analyzing the angle between vector of weights and vector of returns in mean-variance optimization
Feb
5
reviewed No Action Needed Simple question concerning Jump process (Lévy process) model for a risky actif price process
Feb
5
reviewed No Action Needed What is the industry standard Quant Finance modeling library for F#
Feb
5
reviewed Reviewed Asymmetric Volatility Modeling (Interpretation)