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| bio | website | |
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| age | ||
| visits | member for | 1 year, 2 months |
| seen | Jun 21 '12 at 9:33 | |
| stats | profile views | 40 |
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Apr 12 |
comment |
What are some research articles on using principle components to generate alpha? If you are a fan of Meucci, you have surely read this one papers.ssrn.com/sol3/papers.cfm?abstract_id=1404905 |
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Apr 10 |
answered | What are some useful approximations to the Black-Scholes formula? |
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Mar 23 |
comment |
Can we explain physical similarities between Black Scholes PDE and the Mass Balance PDE (e.g. Advection-Diffusion equation)? In physics we have an initial condition, such as the initial distribution of particles in a system and then we measure quantities related to the system as time flows forward. In finance we have a terminal condition, the payoff and we calculate quantities related to the payoff (value, delta, etc.) at earlier times. Unfortunately diffusion equations do not have the time reversal symmetry of say Newton's equations, so we can't just say, let's pretend that time flows backward and make an analogy between physics and finance. That was my point. |
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Mar 22 |
answered | Can we explain physical similarities between Black Scholes PDE and the Mass Balance PDE (e.g. Advection-Diffusion equation)? |
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Mar 21 |
answered | Non-SQL methods for high-frequency accounting? |
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Mar 20 |
answered | Time series of PCA - Sign change in factor loadings |
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Mar 19 |
awarded | Teacher |
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Mar 16 |
comment |
Historical Level 2 Data (Market Depth) The data you download from interactive brokers is standardized, you have a set of requests and you can only ask those requests, so in that sense the data I download is always sufficient (cause it's all there is, nothing more nothing less). What can be insufficient is which underlyings (i.e. contracts) you need for your strategy, they might not be in the set of contracts you have been downloading so far, that's true. |
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Mar 15 |
answered | Vanna - any practical uses for risk or pnl attribution purposes? |
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Mar 15 |
comment |
Vanna - any practical uses for risk or pnl attribution purposes? Option price is a function of risk factors, suppose we have just one risk factor, the spot price. |
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Mar 15 |
answered | Historical Level 2 Data (Market Depth) |
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Mar 8 |
answered | Vanna - any practical uses for risk or pnl attribution purposes? |
