1,220 reputation
321
bio website
location Vienna, Austria
age
visits member for 2 years, 4 months
seen 20 hours ago

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 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?
added 311 characters in body
Mar
19
answered What are the equation that gives hurst exponent of value >0.7 and <0.3?
Mar
3
reviewed Approve Linear-Boundary Crossing Problem for Brownian Motion
Feb
19
comment What R-packages for SOCP problems are there?
@WilmerEHenaoH Why not? My problems are neither time-critical nor large scale...
Jan
21
comment Book on market microstructure
OK. Now you made me curious. Will check out your book...
Jan
21
awarded  Custodian
Jan
21
reviewed Reopen a good book on option pricing from theoretical and practical aspect
Jan
21
reviewed No Action Needed Any known bugs with Yahoo Finance adjusted close data ?
Jan
21
reviewed Reviewed Usage of Random forests in Quantitative analysis of stocks