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Jun
10
answered Forecasting problem with Geometric Brownian Motion in Wolfram Mathematica
Jun
9
answered Simulate (imaginary) asset prices using random numbers that follow a Frank Copula
Jun
9
comment Cointegration Test: Residual is stationary but not random?
Hi Jack, I applied some tex to the question. But to the content: why do you say that your residual is not random? Is it deterministic? If not then it is random. Or do you mean that it looks a bit periodic? The notion of stationarity is interesting in the context of random processes only. So how can it be stationary but not random?
Jun
9
revised Cointegration Test: Residual is stationary but not random?
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Jun
9
revised How do I calculate the PPP adjusted exchange rate between two countries?
edited body
Jun
9
comment How do I calculate the PPP adjusted exchange rate between two countries?
Which page? which formula? can you write it into the answer?
Jun
8
comment Analyst vs firm claims on beta and return
This is just an exam question. In the first part you are asked to calculate the beta. And in ii) you are asked to calculate alpha. Everything else is just a story.
Jun
8
comment EGARCH formulation
Could you post a link to a reference?
Jun
8
answered Measure difference between estimations and historic returns
Jun
8
comment Return volatility or Price Volatility
looks like a duplicate ... quite basic anyways.
Jun
8
answered EGARCH formulation
Jun
8
comment EGARCH formulation
You need a $\log$ on the lhs of the equation.
Jun
8
comment EGARCH formulation
Good point, I will answer
Jun
8
comment EGARCH formulation
If you use latex then it works better if you add the $$ signs ;)
Jun
8
revised EGARCH formulation
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Jun
8
comment Calculate the realised volatility from a time series
What do you mean? What is the aim of your calculation. Just looking at annualized ex-post standard-deviation is not enough?
Jun
8
revised EGARCH formulation
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Jun
8
comment Binomial representation of stochastic processes
Very good point to relate the issue to the question of recombination!
Jun
2
revised Modern portfolio theory in practice
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Jun
2
comment Regression model when samples are small and not correlated
Interesting question - could you use latex?