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Apr
11
answered Beta and Frequency of Data
Apr
11
comment quantiative risk measure how they are implemented in R and their use
What is time series is really too basic for this site. Start with en.wikipedia.org/wiki/Time_series, then get a book on the subject if you want to learn more.
Apr
11
answered quantiative risk measure how they are implemented in R and their use
Apr
11
comment Delta of a standardized at-the-money 30-day put option
At a mathematical level, stock prices in the Black-Scholes model are assumed to be log normally distributed. The distribution of a log normal variable is not symmetric. The mean of the log normal distribution increases as the volatility increases. This means there's a greater chance a call option will be in the money at expiration and less of a chance the put will be in the money.
Apr
11
comment Delta of a standardized at-the-money 30-day put option
Okay, I undeleted my answer. I had to do an example to convince myself I was right again. However, there could be changes in the dividend yield that I effectively assumed away (higher dividend yields in the financial crisis should make the put delta increase away from -0.5).
Apr
11
comment Delta of a standardized at-the-money 30-day put option
I deleted my answer as I'm really not sure how that plot is created and if my answer correctly answers the question. I had assumed the strike equals the share price, but that likely isn't true for this chart and might be leading to the results you are seeing.
Apr
11
comment Delta of a standardized at-the-money 30-day put option
Sorry, I didn't read it that carefully. Was answering for calls. I don't think it should change the answer though.
Apr
11
revised Delta of a standardized at-the-money 30-day put option
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Apr
11
revised Delta of a standardized at-the-money 30-day put option
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Apr
11
answered Delta of a standardized at-the-money 30-day put option
Apr
10
comment Debt vs. Equity?
en.wikipedia.org/wiki/Modigliani%E2%80%93Miller_theorem
Apr
6
comment Having trouble finding PPI for commodity using NAICS code
In case you don't have any answers, you could try contacting the BLS. I've had some luck with these government offices responding for issues like this.
Apr
6
comment What quant-related functionalities is R lacking compared to commercial software like Mathematica and Matlab?
Still a good point though.
Apr
2
comment Overview of robust/regularized portfolio selection
That stuff about non-negative matrix factorization is interesting. Thanks for that.
Apr
1
comment Mean-variance portfolio & quadratic programming
The minimize variance or maximize utility approach can easily be cast in terms of a quadratic programming problem, which have been well-studied. As you note, you can't apply quadratic programming to maximizing return given variance because it involves a non-linear constraint. There are a lot of techniques that can do it. Second-order cone programming comes to mind. Most commercial optimizers I've used can do it. There are some open source non-linear optimizers that can as well.
Mar
31
answered Mean-variance portfolio & quadratic programming
Mar
25
comment Backtesting with fundamentals
Python is a full programming language so it has a lot of potential, but you'll probably have to roll up your sleeves and program some of the stuff you want. There is dedicated backtesting software out there, but you'd have to pay for it.
Mar
24
comment Backtesting with fundamentals
What analysis do you need to do that you can't do with numpy and pandas? Why don't you try going through the documentation and playing around with it a bit more?
Mar
23
reviewed Reject suggested edit on What are some research articles on using principle components to generate alpha?
Mar
23
revised How is the MA (moving average model) useful?
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