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Jan
2
comment Who holds stock overnight?
I don't know of such analyses. But there do exist periodical patterns I think. E.g. Willmot has a chart in one of his books where he plots that the average VIX change is much higher on a Monday then on every other weekday (maybe this depends on the period too).
Jan
2
revised Two correlated time series - driver and follower
deleted 1 character in body
Jan
2
revised Why is there onshore and offshore currency?
edited body
Jan
2
answered Who holds stock overnight?
Dec
30
comment For the Dothan model $E^Q[B(t)]=\infty$?
The short rate in this model is geometric Brownian motion, thus the bank account is the exponential of the integral of GBM. We have to check why this is/could be of infinite expectation ...
Dec
30
comment For the Dothan model $E^Q[B(t)]=\infty$?
What is $B_t$? the bank account $\exp(\int_0^t r_s ds)$ ? Please add moredetais. Where do you have the claim from?
Dec
18
awarded  Revival
Dec
16
comment How to express the Black Derman & Toy Model in a $dr=A\,dt+B\, dW$ form?
Could you explain a bit how you derive the solution for $r_t$ .. with the exponential (2nd formula). I don't see that this is the solution that easily ..
Dec
16
comment How to express the Black Derman & Toy Model in a $dr=A\,dt+B\, dW$ form?
@Drew I think this question is way more brainy than some others out there ...@Student T seeing Gordon's answer your comment is the solution if we let $A$ depend on $r_t$ and $\sigma_t$ ...
Dec
16
revised How does Reuters quote caps?
added 804 characters in body
Dec
16
comment How does Reuters quote caps?
You are right, my answer focus too much on ATM. I will edit my answer a bit.
Dec
16
answered How does Reuters quote caps?
Dec
16
revised How does Reuters quote caps?
deleted 2 characters in body; edited title
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