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# 44 Actions

 Jan 30 awarded Enlightened Jan 30 awarded Nice Answer Nov 17 awarded Yearling Dec 9 comment Calculating log returns using R There was a slight (obvious?) error in my reply with taking the negative logreturn instead. Now corrected. Thanks to user6569 that notified me. Dec 9 revised Calculating log returns using R edited body Jul 12 comment how to calculate more efficient volatility figure than historical volatility? Does your question imply that you do not have access to option market data you can derive implied volatilities from? (i.e. you only have the underlying market?) Jan 17 awarded Scholar Jan 17 accepted Reasonable Hull & White parameters Dec 7 revised Reasonable Hull & White parameters added 40 characters in body Dec 7 asked Reasonable Hull & White parameters Nov 17 comment Why is random trading minus transaction costs not zero expected value? Would you consider the bid ask spread be considered a transaction cost? If not, a very simple counterexample could be provided. But I assume that is not what you are asking about? Oct 26 awarded Yearling Sep 12 comment Correlation: Test for linear dependence Thanks. I think the second paper maybe can solve some of my issues (restated in a comment above). I will have a look at it. Sep 12 comment Correlation: Test for linear dependence I have started to be a bit vary of just looking at the correlation coefficients, as they are simply a number and could be stable although the returns do not follow a lognormal (or any other assumed distribution) walk with correlation p. I guess one would have to look at the distribution as a whole, considering whether the observed data would be sampled from e.g. a bivariat normal distribution. May 11 comment age-sensitive correlation measurements in finances Have a look at RiskMetric's "Technical Document" from 1994, it should all be explained there. It also contains a recursive formula :) If not, the r's in the formula is logreturn of stock j at time (t-n), while your lambda is the weighting constant (RiskMetrics used 0.94, and this usually works well) Apr 24 comment How to get greeks using Monte-Carlo for arbitrary option? Numerical derivatives are iffy business, but I agree that it seems to be your best choice. As you probably know; be aware of the how the precision decreases quickly(!) as higher orders are measures. Apr 24 revised Correlation: Test for linear dependence edited title Apr 24 asked Correlation: Test for linear dependence Apr 20 comment Analytical relationship between a covariance matrix and cross-sectional dispersion And when you measure standard deviation, are you using the estimator 1/(N-1) * sum(r_i,t * r_i,j) (summed over some time) Apr 20 comment Analytical relationship between a covariance matrix and cross-sectional dispersion so if r_i and r_j are the returns of each stock, you are looking for the expected value of the product of these two? i.e. E(r_i*r_j) ?