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seen Sep 2 at 8:38

Oct
9
comment Switching from Matlab to Python for Quant Trading and Research
While I strongly dislike R's syntax and Python gives this pragmatic feeling of "I can get things done [quickly]", Python really lacks R's statistics tools. Python has a mid-size basis of statistics tools, but you need to call R for pretty basic stuff like seasonality/trend-decomposition, not to speak of more advanced statistics, but it partly compares with Matlab, I think. I believe something like the Rmetrics package isn't given anywhere outside of commercial tools yet, so that is definately something Python is lacking currently.
Oct
9
comment Backtesting VaR model violation independence
Although you seem to refer to Value at Risk (VaR), I wasn't sure in the first half of your question if you maybe refer to Vector AutoRegressive (VAR) models.
Oct
9
answered CARA Utility function expected utility
Oct
9
awarded  Editor
Oct
9
revised Analyzing tick data
added 2 characters in body
Oct
9
answered Analyzing tick data
Sep
24
awarded  Scholar
Sep
24
awarded  Supporter
Sep
24
accepted Trade Count Time Series
Sep
24
comment Trade Count Time Series
I am undecided which answer to accept. Since I believe that IB offers a lot of asset classes and exchanges and the count is supposedly then available for all history, I opt for this one.
Sep
23
comment Trade Count Time Series
Ok, so IB provides this data. Nice. This is not an option if you do not trade via IB, but for me and, I believe, many others this is ok.
Sep
23
comment Trade Count Time Series
Yes, I stumbled upon this link yesterday and figured that simply loading tick data might give a hint - how to interpret ticks? It is not the BBO I get, but the prices of trades that happened, right?
Sep
22
asked Trade Count Time Series
Aug
18
comment How to hedge against lack of volatility
What is "the 30 delta" here? Is it delta of 0.3?
Jul
10
answered What is an efficient data structure to model order book?
May
19
comment How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?
S under Q is supposed to return r (risk-neutrality) in total. Since it continuously yields delta, a drift of r under Q would yield r+delta. Thus risk-neutral drift is to be corrected by -delta.
May
18
comment How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?
Yes, you are right. It should've been mu=mu*-r, i.e. theta=(mu*-r)/sigma with mu*=0 with your gBm assumption. This would've yielded (r-delta) under X.
May
18
awarded  Commentator
May
18
comment How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?
ad) "I assume you are referring to dS/S = mu dt + sig dz, but why does this stop being gBm if mu = 0?": In "The index is described as "following a geometric Brownian motion", which to me says that the there is no other drift going on" you seemed to deduce that mu=0 from the fact that the index is supposed to follow a gBm. I wanted to make clear to you, that although the index is supposed to follow a gBm, this does not imply that mu=0.
May
18
answered How does one go from measure P to Q(risk-neutral) when modeling an asset paying dividends?