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Mar
10
asked Real world application of stochastic portfolio theory
Mar
9
comment What I find if I bootstrap a binary logistic regression?
What do you mean by boostrapping the logistic regression in this context?
Mar
9
comment residual correlation remains after seasonal lag added
errors could have GARCH variance ... but your 6 words don't help here.
Mar
7
comment Correlation -1 and standard deviation
Let's close this one .. this is pure algebra. Plug in the values of the variables.
Mar
7
accepted Which are useful applications of clustering in quantitative finance?
Mar
7
revised Which are useful applications of clustering in quantitative finance?
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Mar
7
comment Which are useful applications of clustering in quantitative finance?
Very good answer and thank you very much for the code. I also stumbled upons somehing similar here. systematicinvestor.wordpress.com/2013/01/12/…
Mar
4
asked Which are useful applications of clustering in quantitative finance?
Mar
3
comment Calculating VaR with Monte Carlo simulation
The first step is "generate random numbers" and then later you calculate the correlations. But in fact you need the correlations to generate the random numbers ... so what is first?
Mar
2
comment Error when trying to estimate a Markov-switching Var model in R
hm.. I see it .. I get the same error ...
Mar
2
comment Error when trying to estimate a Markov-switching Var model in R
and the vector for b?
Mar
2
comment Error when trying to estimate a Markov-switching Var model in R
What frequency do you have in your data? in the above example it is 1. What uf you cut the first 20 data and post it.
Mar
2
answered Error when trying to estimate a Markov-switching Var model in R
Mar
2
comment Error when trying to estimate a Markov-switching Var model in R
As I just read the package was removed from cran: cran.r-project.org/web/packages/MSVAR/index.html So maybe you try another package. if you have to use it, then please share with use what the help ?msvar says.
Mar
2
comment Covariance estimation: shrinkage, random matrix theory, what else?
Do you have any reference for applications of RMT in finance? I have applied shrinkage a houndred times and I have seen people arguing with RMT (that the sample covariance matrix is instable) but not really applying it.
Mar
1
comment How to solve this system of ODEs?
I agree to SRKX and if it is just ODE solving then you could try at some maths exchange too ...
Feb
29
comment Why do institutions backtest?
Very good answer. besides persistance what one can focus on is trying to avoid overfitting in the back test. Then chances are higher that the profits will persist.
Feb
29
comment Why do institutions backtest?
I know that some regulations require VaR to be backtested. But which law has a passage where it says that trading strategies have to be back tested? Of course it is best practice to do so ;)
Feb
26
comment Conversion factor and CTD Bond
maybe you want to quote the formula for the conversion factor in your case (Bund?)
Feb
26
revised Conversion factor and CTD Bond
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