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comment Ledoit-Wolf Shrinkage estimator not giving positive definite covariance matrix
@User1111 No, I don't think that shrinking the return vector will do any good. What do you mean by small variances? For sharpe you divide mean by the square-root of variance ... this is bigger than variance. Do you use proper scaling (for annualizing a monthly Sharpe-Ratio you multiply by $\sqrt{12}$, \sqrt{250} for daily data. Why don't you get a non-singular covariance matrix with the original data? Do you have constant time series or time series with missing values that are replaced by constants?
Aug
28
comment Is variance additive only under Log-returns?
The first 2 line equation is wrong. Look at my answer to see why.
Aug
27
comment Is variance additive only under Log-returns?
The answer is simple: no. You need all of the three such that it is true: the time-additiviy of log-returns, uncorrelatedness and equal variances.
Aug
26
comment Specifying integration level of time series
I'm voting to close this question as off-topic because it belongs to stats.stackexchange.com
Aug
6
comment Bayesian logit model in Psychometric or Behavioural Testing for Credit Scoring in Developing Countries
Why don't you post this statistical question here: stats.stackexchange.com?
Aug
5
comment Why is two-factor model so popular for bond futures?
Right ... with the edit of "first two" this is very likely.
Jul
20
comment Fit linear model to higher moments of CAPM
It is what I have started to write above: use the definitions.
Jul
20
comment Fit linear model to higher moments of CAPM
The coefficients are all calculated the usual way. The regressors are defined as you do ... just your formulas are not correct for an OLS regression.
Jul
20
comment Fit linear model to higher moments of CAPM
No, the coefficient is caclulated in the usual way. I will edit my answer.
Jul
20
comment Computation of Expectation
Where does the condition $\beta< 1/T$ come from?
Jul
9
comment Solving the Bootstrapping equation when matrix is non-square
This is very similar to the Moore-Penrose pseudoinverse.
Jul
8
comment Calibration of non-mean-reverting OU process
I have edited the answer. Try it with simulated data.
Jul
8
comment Simulate (imaginary) asset prices using random numbers that follow a Frank Copula
No, no reference ... sorry
Jul
7
comment Getting ETF data from google finance
This is pretty much what I was looking for. I just found the google finance page quite unsatisfactory in this regard ...
Jul
6
comment Beta between stock and option
I assume that you don't want to calculate the covariance of $(S_T-K)^+$ with $S_t$ but rather of $E[(S_T-K)^+|F_t]$ ...
Jul
6
comment Is there a countably infinite Sigma-Algebra? Why?
As not all of the quants here are experts in measure theory I would add from a blog: "there are no σ-algebras that are infinitely countable. This means that any σ-algebra S is either finite (and is therefore just an algebra) or very 'BIG' in cardinality, in the sense that it is uncountable." taken from here: yaronhadad.com/…
Jul
6
comment Estimating correlation using EWMA
What's the use of calculation correlation using yearly data? Will the data from 2008, 2009 as yearly data points help you to understand the dynamics of 2016? 2015? The world is changing ... a yearly frequency is too low in my opinion.
Jul
3
comment Closed form solution of PDE of Option Price
Everything fine .. I just thought that the correct expression is "closed form solution". So I edited the question. I hope this is fine with you.
Jul
3
comment What is the best data structure/implementation for representing a time series in C#?
doesn't this better fit to stackoverflow?
Jul
2
comment Fractals indicator (Bill Williams) R Quantstrat
Would be great if your question were a bit more self-contained with less links ... then we don't have to click on them and we don't have to fear that they die someday .... ;)