meta user
network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year, 7 months |
| seen | May 15 at 16:05 | |
| stats | profile views | 166 |
|
Oct 29 |
awarded | Custodian |
|
Oct 29 |
reviewed | Reviewed Conditional or unconditional volatility? |
|
Oct 29 |
reviewed | Approve suggested edit on Where can I find exercises on building a project finance spreadsheet? |
|
Oct 29 |
reviewed | Edit suggested edit on Where can I find exercises on building a project finance spreadsheet? |
|
Oct 29 |
revised |
Where can I find exercises on building a project finance spreadsheet? changed URL to a link |
|
Oct 22 |
comment |
Connections between random walk and heat equation (Material for ~) Einstein's derivation of the diffusion equation is really intuitive. I can't find a good ref right now... |
|
Oct 21 |
reviewed | Approve suggested edit on Calculating the right portfolio(position size for each leg) in a Long/Short Strategy |
|
Oct 21 |
answered | Alternative liquidity measures |
|
Oct 16 |
revised |
Are two identical time series cointegrated? clarified relevance to the question posed by OP |
|
Oct 16 |
comment |
Are two identical time series cointegrated? No, using vs not-using qualifiers in a technical discussion is not an objective thing. |
|
Oct 16 |
comment |
Are two identical time series cointegrated? More importantly, since the cointegrating linear combination in this case requires $\alpha = -\beta$, the conclusion that $(\alpha + \beta) X$ must be stationary does not lead to any contradiction as $\alpha + \beta$ equals zero and $X$ could be anything. |
|
Oct 16 |
comment |
Are two identical time series cointegrated? You didn't use any quantifier in the original answer. That's wrong. Using some is acceptable. A mathematical text would state that there exist $\alpha$ and $\beta$ such that $\alpha X + \beta Y$ is stationary. |
|
Oct 13 |
awarded | Yearling |
|
Sep 25 |
reviewed | Reject suggested edit on Hedging stocks with VIX futures |
|
Sep 21 |
awarded | Custodian |
|
Aug 29 |
reviewed | Looks Good How to account for jumps in intraday data when calculating beta? |
|
Aug 20 |
reviewed | Approve suggested edit on derivation of formula for portfolio skewness and kurtosis |
|
Aug 10 |
awarded | Civic Duty |
|
Aug 9 |
comment |
How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy? I'd like factual statements to be substantiated with evidence. In my experience, top finance journals routinely require transaction cost analysis as a robustness check to any finding. |
|
Aug 2 |
awarded | Excavator |
