1,142 reputation
321
bio website
location Vienna, Austria
age
visits member for 2 years, 3 months
seen Oct 10 at 14:06

Mar
19
answered What are the equation that gives hurst exponent of value >0.7 and <0.3?
Mar
3
reviewed Approve suggested edit on 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
Jan
17
reviewed No Action Needed Measuring liquidity
Jan
16
reviewed Reject suggested edit on What data sources are available online?
Jan
16
reviewed No Action Needed Earnings and valuation data sources online
Jan
16
reviewed No Action Needed How to choose a risk-neutral measure when the market is incomplete?
Jan
16
revised Normality assumption in Sharpe ratio
squares are supposed to be outside
Jan
13
reviewed Reviewed Cointegration tests
Jan
13
comment Cointegration tests
The link appears to be dead.
Jan
13
reviewed No Action Needed How fast is QuickFix ?
Jan
13
reviewed No Action Needed Why are options trades supposed to be delta-neutral?
Jan
10
asked What R-packages for SOCP problems are there?
Jan
10
revised How can I calculate the Cumulant-Generating Function in Matlab?
latexified - otherwise unreadable
Jan
8
answered Multifractal Model, Generating Sample Paths with Correlations between Assets