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visits member for 2 years, 8 months
seen Jul 8 at 18:42

Apr
8
asked Are power contracts traded on any stock market?
Apr
2
awarded  Necromancer
Dec
13
awarded  Nice Question
Mar
5
comment Toy models of asset returns
en.wikipedia.org/wiki/Agent-Based_Computational_Economics , and suitable process which generates density with excesse kurtosis could be obtain by sum of a random number of i.i.d. Gaussians - sum of random number of trades each trade moves price iid Gaussian, number of trades is random and arise from interaction between agents - I've seen a few such papers; for general overview of agent models in quantitative finanse you could check this survey hal.archives-ouvertes.fr/docs/00/62/10/59/PDF/reviewII.pdf ps. zero intelligence models are easier = starting point
Feb
26
asked Why C is still in use especially in area of numerical optimization (instead of C++)?
Feb
16
comment Problems with dealing with GARCH models and intra-day data
I didn't use fGarch because this implementation of garch does not support external variables and I haven't been aware of existance of rugarch package
Feb
16
comment Problems with dealing with GARCH models and intra-day data
but AFRIMA which also have property of long memory didn't work - $d$ was statistically insignificant
Feb
15
asked Problems with dealing with GARCH models and intra-day data
Feb
15
awarded  Critic
Feb
15
accepted How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
Feb
13
accepted Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset?
Feb
12
awarded  Yearling
Jan
23
asked Liquidity detection based strategy in HFT
Jan
23
revised Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset?
added 2 characters in body
Jan
23
comment Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset?
@Brian B very interesting, thanks
Jan
23
asked Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset?
Sep
16
accepted Does the correlation amongst stocks rise when stock values decline?
Jun
20
comment Is a linear combination of GARCH processes also a GARCH process?
good answer, but usually we work with logarithmic returns, if 'x1' and'x2' are returns and x3=a1*x1+a2*x2, and r1=ln(x1),r2=ln(x2), r3=ln(x3) then r3 isn't equal to r1+r2
Jun
20
awarded  Scholar
Jun
20
accepted Is a linear combination of GARCH processes also a GARCH process?