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bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 9 months
seen 2 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Dec
16
comment ARIMA model, cannot get rid of low order ACF spike
I think you can order the book as pdf - it is definately worth the money. I bought it as paperback. As I see in the remark below your problem is solved ;)
Dec
15
comment Is this process predictable or not?
You write "the other values of $\xi_t$ are given only when $S_{t−1}$ is greater than $S_{t−2}$". This is not true. The indicator function just means that $\xi_t$ is $1$ if $S_{t-1}$ is greater and $0$ else. This is well defined ...
Dec
15
comment Is this process predictable or not?
I agree, if the process is properly defined, then at time $t-1$ we know $S_{t-2}$ and $S_{t-1}$ and thus $\xi_t$ - and that's it.
Dec
14
awarded  Notable Question
Dec
11
comment ARIMA model, cannot get rid of low order ACF spike
You difference the data once ... mabye there is something with using a constant as described in the chapter above ...
Dec
11
comment ARIMA model, cannot get rid of low order ACF spike
What is the input data? Can you provide the values or a plot of the acf or pacf of the data? Here you find a chapter of the online textbook which I post in this forum nearly every second day.
Dec
10
comment Find the order of an ARMA model (q & p )
A very good approach can be found here: otexts.org/fpp/8/7
Dec
10
comment Find the order of an ARMA model (q & p )
2 Comments: 1st: I edited your question, I hope I got the meaning right. 2nd: you really take random p and q? In which range? If you don't know how to fit them then what about using simple models first (AR(1), ARMA(1,1), ...)?
Dec
10
revised Find the order of an ARMA model (q & p )
added 2 characters in body
Dec
9
reviewed Reviewed Skew in Black Scholes model
Dec
9
comment Skew in Black Scholes model
Please use Tex for the formulas. Can you provide the chart or the code that produced the chart?
Dec
9
reviewed Reviewed What is a medium to low frequency trading strategy and why is it less hyped?
Dec
9
comment What is a medium to low frequency trading strategy and why is it less hyped?
This is a very rudimentary answer. As it is your first answer here mabye you would like to improve it (e.g. using full sentences, references, ...)
Dec
9
answered Portfolio Optimization to include ALL Securities?
Dec
9
comment How to annualise the volatility of non-iid returns?
I edited the question a bit. You do not annualise returns but you annualise their volatility.
Dec
9
revised How to annualise the volatility of non-iid returns?
I added the word "volatility"
Dec
9
awarded  Organizer
Dec
9
revised What do I need to do with my data before fitting the ARIMA model?
edited tags
Dec
9
answered What do I need to do with my data before fitting the ARIMA model?
Dec
4
comment How to compute the historical VaR for a portfolio with long and short positions?
Please clarify your question and correct the typing.