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Jun
19
revised How to break down an FX option P&L?
edited title
Jun
19
accepted Seasonal patterns in financial markets (weekday effects)
Jun
19
answered The Distribution of Future Stock Price
Jun
18
comment Seasonal patterns in financial markets (weekday effects)
I usually like looking at rather recent data just because I think that the world changes and that e.g. 2008-2014 is more relevant for today than periods before that. Thus looking at the link there seems to be quite a strong pattern showing reversal in the period 2006-2010. I would love to see more recent data too. But for this period the effect looks strong to me - although in general the article summarizes that the effect is not reliable. Maybe not at all times - maybe not in old days but today !? ;)
Jun
18
comment Seasonal patterns in financial markets (weekday effects)
Hi, thanks for the references. Do they also cover patters during the week?
Jun
18
asked Seasonal patterns in financial markets (weekday effects)
Jun
18
comment Extracting Signal from Noisy Data
Yes ... in modern markets you can not expect large sources of arbitrage (small $\beta$). But if $\beta$ is small then speaking the the terms of your model the error dominates and you are likely to lose money.
Jun
18
revised How to use calibrated Standard Stochastic Volatility?
added 34 characters in body
Jun
18
answered Extracting Signal from Noisy Data
Jun
16
awarded  Popular Question
Jun
16
comment Regression model syntax
$y$ in this case is $r_{t+1}+ \cdots +r_{t+H}$. In training the model you have to form sets of $y$ and corresponding $x$ (which are terms involving $D$). These will overlap if you increase $t$ by $1$ only - which should be ok as this usually happens in time-series regression.
Jun
15
comment Regression model syntax
The term $D_{t_i,k}$ are based on past returns before $t$. So one could say that they are independent and that $r_{t+1} + \cdots$ is "dependent". I would rather say that these are explanatory for the latter. Do you want to find out how that $D$ terms are calculated precisely?
Jun
15
comment Implied volatility interview question
This is really basic ... let one parameter go to infinity ...
Jun
15
answered Regression model syntax
Jun
15
comment Monthly Return Net of Fees
$20\%$ fee? annual? Guess you mean $20\%$ of profits above a high water mark?
Jun
15
comment Monthly Return Net of Fees
This is either very basic or unclear. What fee? The return of what?
Jun
11
comment Simulate (imaginary) asset prices using random numbers that follow a Frank Copula
To the comment witth $D$ -> yes .. then your expected return is the risk free rate. For the expected value you should use the theoretical one because the sample estimate bears the sampling error. Concerning the compensator: it addresses the jumps .. for the Brownian motion part (if it is there) you simply set the drift to zero ...Fourier is the thing to do if you want to price an option.
Jun
10
comment Simulate (imaginary) asset prices using random numbers that follow a Frank Copula
I edited the question. for the risk neutral pricing you need to find the compensator of the Levy process.
Jun
10
revised Simulate (imaginary) asset prices using random numbers that follow a Frank Copula
added 833 characters in body
Jun
10
revised Forecasting problem with Geometric Brownian Motion in Wolfram Mathematica
added 700 characters in body