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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 1 year |
| seen | 9 hours ago | |
| stats | profile views | 153 |
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May 17 |
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What's the first time-integral of price called? I'm not sure a physics approach is helpful. Maybe you could pick up a book on stochastic calculus. |
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May 9 |
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How does the CME set margin requirements on commodity Futures I just googled "CME margins" and put in the first link that came up after noticing it had some helpful links on the side. |
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May 9 |
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How does the CME set margin requirements on commodity Futures cmegroup.com/clearing/margins |
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May 9 |
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When calculating CIP between EU and US, which interest rates data to use? As in en.wikipedia.org/wiki/Compound_interest. If you set up the math properly, you will get a difference between the two, but it will be nowhere near as large as the differences you are reporting. |
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May 9 |
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When calculating CIP between EU and US, which interest rates data to use? You F/S is still off, but not as off. The ratio is also way off. You have to use interest rates as a percent, so 6bps is $0.06/100$ and you also have take into account that you are only investing over a limited period. I got significantly closer numbers. |
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May 9 |
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When calculating CIP between EU and US, which interest rates data to use? Your 1 month forward rate is wildly wrong (based on Bloomberg FRD command). I suspect that if you got 0.04 for that ratio, then you're also doing something wrong in that calculation as well (you're right to use 1 month rates). At a minimum, you need to account for the fact that you are only investing over a one month period (instead of a year). |
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May 8 |
reviewed | Approve suggested edit on Forecasting using rugarch package |
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May 8 |
reviewed | Reject suggested edit on Ways of treating time in the BS formula |
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May 7 |
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How to normalize technical indicators for machine learning? I'm not sure there is one right approach. |
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May 1 |
awarded | Yearling |
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Apr 30 |
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Bond curve extrapolation I would have recommended Nelson-Siegel...You may get better results if you apply Nelson-Siegel to the forward curve and then build back the yield curve. Alternately, a weighted least squares might help reflect greater uncertainty in the longer bond yields. |
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Apr 29 |
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How to Calculate Cost of Equity using WACC Whether it is valuable to some is not relevant to whether it is on-topic (see the FAQ). As Rainer notes, this is level 1 CFA material (or undergraduate corporate finance). |
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Apr 29 |
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How to Calculate Cost of Equity using WACC Your answer looks right, but I'm voting to close after seeing more clearly what you're actually asking. |
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Apr 29 |
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How to Calculate Cost of Equity using WACC This is really just a question about how to calculate $\beta$. You may want to clean up the question to reflect that. There are many resources on the web on calculating beta, here is one: people.stern.nyu.edu/adamodar/pdfiles/eqnotes/discrate2.pdf |
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Apr 25 |
answered | Transformation to reduce standard deviation without changing median |
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Apr 24 |
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Calculating Geometric mean You could convert the return index into a total return index. |
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Apr 23 |
answered | Calculating Geometric mean |
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Apr 11 |
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Data Synchronization While GARCH is a good approach to modeling volatility, I wouldn't make things too complicated when dealing with data synchronization. That being said, in the regression approach I linked to, the synchronized series is a function of another series, which for equities would have time-varying volatility. So if you fit a GARCH to the synchronized series it would also have time-varying volatility, most likely. |
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Apr 9 |
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How to deal with different amount of td's in computing Sharpe Ratio I believe this question has already been answered. |
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Apr 4 |
reviewed | Approve suggested edit on Does DOM trading using broker data make any sense? |
