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network profile
| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 1 year, 1 month |
| seen | Apr 27 at 19:34 | |
| stats | profile views | 15 |
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Apr 19 |
comment |
Is there any thing out there as a substitute for KDB? The minimal 2-core setup of kdb+ is actually pretty reasonable: $25K per year including maintenance. |
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Aug 10 |
accepted | Analyzing an incomplete set of trades |
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Aug 5 |
comment |
Analyzing an incomplete set of trades That's an interesting approach. I hadn't considered a statistical solution to fill in the missing trades. But I don't see how I could estimate any probability distributions when I don't even know how much of the flow I'm missing; I could be seeing 100% of their trades or 5%. And the market is FX, so short selling is quite natural and common. |
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Aug 5 |
comment |
Implications of the Riemann hypothesis in finance? Are you sure he was implying that it had any applications in finance? Maybe he was just suggesting that they should devote their time to studying pure math. |
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Aug 4 |
awarded | Editor |
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Aug 4 |
revised |
Analyzing an incomplete set of trades deleted 10 characters in body |
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Aug 4 |
comment |
Analyzing an incomplete set of trades It's actually an OTC market, so I know everything about the individual entities and can link them to their trades. |
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Aug 4 |
asked | Analyzing an incomplete set of trades |
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Jul 30 |
comment |
Market making in thinly traded assets The lack of correlation is intrinsic to this asset. There simply aren't any other traded assets that have any measurable relation to its value (observed or otherwise). |
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Jul 28 |
asked | Market making in thinly traded assets |
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Jul 20 |
accepted | What distribution should I apply to estimate the likelihood of extreme returns? |
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Jul 20 |
asked | What distribution should I apply to estimate the likelihood of extreme returns? |
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Apr 20 |
awarded | Supporter |
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Apr 20 |
comment |
Do I need a copula to accurately estimate the VaR of a portfolio of risky assets? Thanks, one last question. You say that a Gaussian copula suffers the same tail risk problems as a multivariate normal, but what about a Gaussian copula with non-Gaussian marginals? Couldn't that fit fat tails? |
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Apr 20 |
awarded | Scholar |
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Apr 20 |
accepted | Do I need a copula to accurately estimate the VaR of a portfolio of risky assets? |
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Apr 20 |
comment |
Do I need a copula to accurately estimate the VaR of a portfolio of risky assets? Thanks for your reply, but if I were to use historical VaR on 20 assets (or even 6 as in your example), wouldn't it suffer from the curse of dimensionality? I thought that's why I needed to make distributional assumptions. |
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Apr 20 |
awarded | Student |
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Apr 20 |
comment |
Do I need a copula to accurately estimate the VaR of a portfolio of risky assets? Well no model is perfect. I am aware of the criticism that people have put too much trust in VaR and gaussian copula, but that doesn't mean they have no use. What would you suggest instead? |
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Apr 20 |
asked | Do I need a copula to accurately estimate the VaR of a portfolio of risky assets? |
