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comment Is there any wordpress widget that i can add on my website for customized stocks?
I'm voting to close this question as off-topic because it is about a wordpress widget mainly and not about quant finance.
Apr
27
comment 2 Ito processes - $d(X_{t} + X^{'}_{t})^2 = (Y_t + Y^{'}_{t})^2 dt$ why it is true?
The last 3 lines are the correct answer to the above - and well explained together with the intro!
Apr
26
comment How to express the volatility of two correlated Ito processes $Wt_1, Wt_2$ expressed in terms of $W_t$?
I have changed this just some seconds ago ;)
Apr
26
comment 2 Ito processes - $d(X_{t} + X^{'}_{t})^2 = (Y_t + Y^{'}_{t})^2 dt$ why it is true?
where do you have this from? I tried to apply Ito but I don't think that his is true. Where does the factor 2 go? Is this homework?
Apr
25
comment Backesting VaR on overlapping intervals to year's end
in your edit: 1) is irrelevant for my question. in 2): I don't think that fixing VaR in Jan and having a breach due to a large loss in December and fixing VaR in July and having a breach of it due to the same loss is independent. This is a problem and I wonder whether anything useful (!) can be done.
Apr
22
comment Backesting VaR on overlapping intervals to year's end
The question is: can I use all VaR esimates during a year (in the above sense) to asses the quality of my VaR esimate. And no - I think that the usual tests can not (!) be applied because of the overlap ...
Apr
22
comment Backesting VaR on overlapping intervals to year's end
Please see my edit.
Apr
22
comment Backesting VaR on overlapping intervals to year's end
Thanks for your answer. The first part is the usual VaR backtesting. The second paragraph is clear. But e.g. if I have a suprising loss of 40% in December then all my VaR esimates from Jan - November will be breached at once ... on the other side in the standard setting I calculate VaR and check on the next periods return, then I loop this. The above can not happen. There is something different
Apr
22
comment Backesting VaR on overlapping intervals to year's end
No, because the indicator of the event "return from July to December less than x" is not indepenend from the event "return from August to December less than y" ... so I think there is something to be taken care of. Please see my edit.,
Apr
14
comment How to price a stock under Q and stochastic interest rates?
Using the measure Q you can not predict the future. Applying cost-of-carry (see google for details) you get the correct price for a forward that prevents arbitrage. Noone knows the future. But we an price to avoid arbitrage ...you don't price a stock - it already has a price when traded. But you can price a forward. And you don't have to have any clue about the future .. you just need an arbitrag free price..
Apr
12
comment When and how to use RNN for stock analysis or trading
Hi, whatever model: you want to train on 10 years of data and predict one day? Trainin on SPY and predict Google (Alphabet)? You even want to predict an uncorrelated price? How should this be possible with reasonable accuracy?
Apr
11
comment How to price a stock under Q and stochastic interest rates?
Hi, the argument that bond prices are real-world observations does not count. They are prices. Whenever you fit a process to match prices then you work under Q, the pricing measure (aka risk neutral). This means whatever you think of the future (P-measure) you take expectations that match prices.
Apr
9
comment How to create time series with lagged in R
did you have a look at the function "lag" ? Furthermore this is at most a question for stackoverflow ...
Apr
7
comment What is the name of all 1-day movements, 2-day movements etc
To see that returns can have correlation zero but be dependent think of $X,Y,Z>0$ independent, then $X/Z$ and $X/Y$ are uncorrelated but not independent as both are scaled by $Z$.
Apr
7
comment What is the name of all 1-day movements, 2-day movements etc
Hi, I am not Richard Hardy, my username ist just Richard. No, I would have to think a bit more about Heston here. But we speak of realized returns - right? So not risk neutral, just statistical. If their square shows autocorrelation, then they can not be independent. The square is related to volatility (as a formula and in intuition, if you think that sign does not matter but size). If returns were normal then correlation zero and independence are equivalent. For example a multivariate t-distributuion can have correlation zero but dependence.
Apr
6
comment What is the name of all 1-day movements, 2-day movements etc
The title of the question is a bit misleading ...
Mar
30
comment simulating from the CIR++
What is $\phi(t)$ ?
Mar
30
comment Which are useful applications of clustering in quantitative finance?
thanks, I am following his RSS feed from now on ;)
Mar
29
comment Square of arithmetic brownian motion process
Very good answer!
Mar
26
comment Real world application of stochastic portfolio theory
@John You are right about the paper mentioned above .. I think they lack a lot of important info (vola, draw down, Sharpe ratio, rolling performance, TE, ...) that I would be interested in ... and all the SC and turnover issues are missing too.