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Feb
26
revised Time-Varying Volatility and Conditional Likelihood
edited title
Feb
25
answered Time-Varying Volatility and Conditional Likelihood
Feb
25
revised Time-Varying Volatility and Conditional Likelihood
added 105 characters in body
Feb
24
revised Pricing options with two assets
deleted 1 characters in body
Feb
23
comment How are quants able to verify whether their calculated prices are any good
When you say their calculated prices, you're referring to the values that are output from models (like pricing an option with BS), right, rather than the bid/ask prices quoted in the market?
Feb
21
comment Consensus on Cauchy distribution for stock prices
Those are important issues. I've tried truncated cauchy and stable as an alternative to their full versions, but I'm not familiar with tempered-stable.
Feb
21
answered how to back out levels from a forecast of differenced series
Feb
21
revised how to back out levels from a forecast of differenced series
Adding in some Tex and making it a big more readable.
Feb
20
answered Model Validation Criteria
Feb
20
comment Directional View of Volatility
en.wikipedia.org/wiki/Variance_swap
Feb
19
comment How do I simulate stock prices for a 10 asset portfolio, over a period of 10 years in MATLAB?
Use normrnd to simulate daily log returns, then convert to prices. Mvnrnd does the same simulation, but since you're dealing with a diagonal covariance matrix it just transforms it by the cholesky, which is the identity matrix. Note that this only means you simulate from a distribution with 0 correlations. It does not mean that the simulated correlation matrix will be an identity matrix. See this: mathworks.com/matlabcentral/fileexchange/…
Feb
11
comment Is the number of outstanding shares a stationary series?
Why not just make everything on a per share basis and avoid the issue?
Jan
31
comment Smoothing Term Curve
You might look into interpolation techniques that incorporate liquidity (assuming you can get the data). This would effectively put less weight on bonds that aren't being actively traded. Liquidity is an important consideration in volatility surfaces so you should be able to find some research on it. Alternately you can try a parsimonious model, like Nelson-Siegel (which there should be some questions about), and take deviations from that to identify outliers.
Jan
31
comment How to score a portfolio's diversity based on security returns?
I'm not exactly sure what you mean by diversity, but there's a (rather, at least one) question on average correlation. quant.stackexchange.com/questions/8689/…
Jan
31
revised Need overlapping sample autocorrelation correction for calculating asset return correlations
deleted 27 characters in body
Jan
29
comment Portfolio Optimization : Shrinkage of Covariance Matrix when data is available
You seem to be focused on shrinkage only to ensure the covariance matrix is positive definite. That's not the only reason to use shrinkage. Reduction of estimation error is another reason. My answer focused on the benefits of reducing estimation error.
Jan
29
answered Portfolio Optimization : Shrinkage of Covariance Matrix when data is available
Jan
27
reviewed Approve Local Volatility vs. Stochastic Volatility
Jan
27
comment Where do these Orders come from and what do they mean?
@JoshuaUlrich, I feel this is related to market structure, which is on topic.
Jan
27
accepted Strategies for Liar's Poker