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visits member for 2 years, 3 months
seen Oct 10 at 14:06

Jun
26
comment economic facts that causes the financial time series to be heavy tailed
For EVT, the more puzzling fact is that the "real" heavy tails do not scale with time...
Jun
23
comment What Is A Good Success Rate Using Machine Learning For A Beginner?
I think this question is definitely appropriate here. I am no expert on this topic, but I think if you use models like that you aim for a success rate that is well above $50\%$ with the amount depending on the cost of implementing the trading signal so that you place bets with an expected value >0. Further more, you would want to add some additional margin (for estimation and modelling error or changing environment for example). It definitely depends on the cost of getting in and out of the position. Thats why there can't be a single target number.
Jun
11
comment PDF Calculation by Fourier Inversion of Characteristic Function for Affine Intensity Process in Matlab
Have you tried the matlab-function ifft? It seems to make more sense than doing the quadrature explicitly. Depending on the implementation, you might have to normalize your vector afterwards though.
Jun
11
revised calculate gamma value using finite difference method
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Jun
10
answered calculate gamma value using finite difference method
Apr
25
comment derive black scholes greeks
I suppose $q$ is a continuous yield dividend and $r$ the risk-free rate. But be careful, $N^\prime$ is most likely not the differential operator here! It is the probability density function of the standard normal.
Apr
15
comment how to extend lognormal model so that $\sigma$ is correlated to $\mu$?
@athos: I guess what you will end up with in the end will something like the "market price of risk" (the linear relationship you mentioned) and the notion of a risk-neutral measure. Please do not mix up correlation and simply a functional relationship. The correlation of deterministic quantities is always $0$. If you really want to pour time into this: This seems like a dead end to me.
Apr
10
reviewed Close What is shorting a asset that has negative price. Can anyone give me an example?
Apr
10
reviewed No Action Needed SEC XBRL Context Dates
Apr
10
reviewed No Action Needed Pricing forward contract on a stock
Apr
10
reviewed Reviewed How do i test the significance of Sharpe ratio of a strategy using bootstrap
Apr
10
reviewed Reviewed Are there Python algorithmic trading libraries supporting forex?
Apr
1
reviewed Reject suggested edit on Are e-mini markets manipulated?
Mar
31
comment Understanding the derivation of a ML-estimator
Could you clarify the first equation in (1)? There are some brackets missing I suppose? And why the notation $(\mathbb{1}^\prime \mathbb{1})^{-1}$? Isn't that just $1/T$?
Mar
24
accepted Scaling of a transition matrix
Mar
21
comment Scaling of a transition matrix
@BrianB Nice!! Now that I read it, the Schur decomposition looks like the natural approach for this...
Mar
21
comment Scaling of a transition matrix
@Gerard Torrent OK I think I am missing something: Why should the eigenvalues of $D$ be nonnegative or even real? Why should all fractional powers exist (like 1/12 for example)?
Mar
20
asked Scaling of a transition matrix
Mar
19
comment What are the equation that gives hurst exponent of value >0.7 and <0.3?
I edited my answer.
Mar
19
revised What are the equation that gives hurst exponent of value >0.7 and <0.3?
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