meta user
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| bio | website | |
|---|---|---|
| location | ||
| age | ||
| visits | member for | 7 months |
| seen | Dec 18 '12 at 17:04 | |
| stats | profile views | 14 |
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Nov 2 |
comment |
Individual/casual investors and the bias towards blue-chip stocks? I said the bias is not limited to individual/casual investors. Institutional investors have a bias toward large caps, as well, for their own reasons. It's the stocks that the market as a whole is biased against that are going to do better. |
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Nov 1 |
comment |
Individual/casual investors and the bias towards blue-chip stocks? I think Fama and French en.wikipedia.org/wiki/Fama%E2%80%93French_three-factor_model have found evidence for such a bias. Not just individual/casual investors either. Namely they found that small cap outperforms big, and value outperforms growth. (I think it's likely that stocks with high visibility characteristics and "positive skewness" do tend to be growth stocks, though.) Data on the fraction of institutional ownership for stocks is fairly easily obtainable, too. |
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Nov 1 |
comment |
How to generate a random price series with a specified range and correlation with an actual price? So you wanted to bootstrap your original price series... en.wikipedia.org/wiki/Bootstrapping_%28statistics%29 ...interesting that the answers do that in the frequency domain. |
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Oct 29 |
revised |
Why the interest rate for put-call parity is not constant? synthetic bond |
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Oct 27 |
answered | Creating a doubling and halving position |
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Oct 20 |
comment |
Why the interest rate for put-call parity is not constant? Well here's an exercise for you @Strange one. Buy a call 1000 and sell a covered call 1500. Then buy a put 1500 and sell a secured put 1000. What did that all just cost you net, and what's it going to be worth come expiration time? Can you figure out the interest rate from that? |
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Oct 19 |
comment |
Why the interest rate for put-call parity is not constant? No. $\frac D {strike}$ is different for every strike, not $D$ itself. Whatever the market expects dividends to be, that's what they're expected to be, regardless of options. |
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Oct 18 |
revised |
Why the interest rate for put-call parity is not constant? I lied. |
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Oct 18 |
comment |
Why the interest rate for put-call parity is not constant? @John Dividend is the same across the board, but of course "dividend/strike price" is higher for lower strike price. |
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Oct 17 |
comment |
Why the interest rate for put-call parity is not constant? @John it still doesn't matter whether or not the dividend yield is higher for a lower stock price. |
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Oct 16 |
comment |
Why the interest rate for put-call parity is not constant? @John Dividends have nothing to do with strike price. |
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Oct 16 |
answered | Why the interest rate for put-call parity is not constant? |
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Oct 15 |
awarded | Teacher |
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Oct 15 |
awarded | Editor |
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Oct 15 |
revised |
Searching for pairs-trading in sub O(n^2 t) time fixed math mistake |
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Oct 15 |
answered | Searching for pairs-trading in sub O(n^2 t) time |
