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Mar
27
comment The use of GARCH
I try to focus my answers on market microstructure, @MattWolf , my plan is not to write tutorials on time series here... Let's hope we have another user who will contribute on this...
Mar
26
comment The use of GARCH
@MattWolf it would be great to read something like: the ARIMA on the returns will provide you this feature [biblio] but you have remaining heteroskedasticity on the residuals, use a GARCH to capture it [biblio again]. By the way, are you sure that if you generate your data by GARCH+ARIMA the parameters estimated that way will be unbiased ;{)} ?
Mar
25
comment The use of GARCH
Your answer is too short, @user2142 , it is good for a comment but if you want to post it as a question, please ellaborate.
Mar
9
comment Book on market microstructure
funny that Louis Marascio's answer on my book scored more points than my own answer, even if the later included my book... ;{)}
Feb
17
comment Portfolio optimised for diversification and regular yield. How to hedge?
ok, I hoped for something more detailed and challenging ;{(} no problem anyway
Feb
15
comment Portfolio optimised for diversification and regular yield. How to hedge?
Please be more accurate in your question. You cannot just say "look at this external page", you should summarize properly the framework to expect answers.
Dec
20
comment Is “eoddata” a good data source?
welcome @Ales, and thank you for the question. Nevertheless it could be great if you could rewrite it around "what is the best way to detect spikes", or something similar.
Dec
14
comment Where do these Orders come from and what do they mean?
you have seen this on which market / orderbook?
Nov
12
comment Black scholes OTC
Please ellaborate or post your remark as a comment.
Aug
5
comment Is it possible to model general wrong way risk via concentration risk?
@user7056 I updated my answer to list more than CVA as a consequence to GWWR
Jun
5
comment How to model hedge fund returns?
There is a special issue of bankers, markets and investors about hedge funds: revue-banque.fr/medias/revues/bankers-markets-investors/… a very good reference indeed.
May
21
comment Databases for storing and querying high frequency tick-level data?
@DanielQin you should ellaborate in your answer, otherwise, please just post a comment. This is one of the good practices of this web site. Thanks. And welcome anyway.
May
12
comment In a mis-matched trade who profits?
@MattWolf my name is not that common: I am almost surely the author of "Market Microstructure in Practice" ;{)}
Mar
23
comment Definition of orthogonality and independence for a stochastic processes
As usual with Gaussianity; since you have in mind Gaussian processes, yes: correlations=0 is equivalent to independence.
Mar
6
comment Measuring Behavioral Finance Effects in Fund/Portfolio Manager Analysis
@user2921 you meant this paper www2.warwick.ac.uk/fac/soc/economics/news_events/calendar/…
Feb
19
comment How do I simulate stock prices for a 10 asset portfolio, over a period of 10 years in MATLAB?
there is the full commented code on this wii: en.literateprograms.org/Monte_Carlo_simulation_(Matlab)
Feb
10
comment Volatility calculation for intra-day cash-or-nothing call binary option
possible duplicate of What exactly is meant by "microstructure noise"?
Feb
9
comment Papers and algorithms on bidding schemes for best order execution?
I liked yours too @Anna , it would be great to undelete it since the references are adequate.
Jan
16
comment Recommendations for books to understand the math in quantitative finance papers?
Attilio Meucci's book is very good.
Jan
14
comment What is the realized volatility's estimation error?
@AmirSani intraday seasonality may be a better candidate than volatility itself. You can try seasonality of (1) the volatility (but complex), (2) the traded volume, (3) the bid ask spread. Open a question on intraday seasonalities (we do not have it I think) and we will discuss there.