meta user
network profile
| bio | website | |
|---|---|---|
| location | ||
| age | 23 | |
| visits | member for | 7 months |
| seen | 4 hours ago | |
| stats | profile views | 59 |
|
Nov 16 |
comment |
Cointegration trading: Ignoring pairs that aren't economically related I am interested, do you have a reference for this claim? Or at least could you tell me how you came to know this? |
|
Nov 14 |
comment |
What are the main limitations of Black Scholes? I always wondered why don't they price it with $e^{-\int_0^t r(s)ds}$ instead of $e^{-rt}$ as the discount factor to account for your last point? |
|
Nov 13 |
comment |
is beta of a portfolio always meaningful? Could you please elaborate on how investment bankers use beta? This should be interesting.. |
|
Nov 13 |
comment |
Is there any good research on support and resistance? Fantastic! There should be a law that this has to go on the front page of every technical analysis book as a disclaimer. |
|
Nov 13 |
comment |
Cointegration trading: Ignoring pairs that aren't economically related @chrisaycock Thanks. It's that simple is it? What if you had that all set up, what would be the next step? |
|
Nov 12 |
comment |
What concepts are the most dangerous ones in quantitative finance work? I don't think it's been shown to be violated. They've struggled to confirm any cross-sectional relationship but that doesn't mean that it's been shown to be violated. |
|
Nov 12 |
comment |
Version of Girsanov theorem with changing volatility Just one small thing. I think you're to do $E^P[X\frac{dP}{dP^*}]$ to change measure from $P$ to $P^*$. Consider this expression in the form of an integral; $\displaystyle \ \ \int_\Omega X (\frac{dP}{dP^*})dP\frac{dP^*}{dP} = E^P[X\frac{dP}{dP^*}]$. |
|
Nov 5 |
comment |
Why does $\hat{\epsilon}'\hat{\epsilon}$ of a factor model measure risk? Okay, thanks. Still can't really understand why this is called a "risk". It just means that you have exposure to a wider set of factors than what you've hypothesized your returns generating process to be ... |
|
Nov 4 |
comment |
Why does $\hat{\epsilon}'\hat{\epsilon}$ of a factor model measure risk? @John Since this statistic is is measuring something so wildly different to the historical standard deviation of returns, why does some literature treat the two statistics as almost the same thing? E.G. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1881503 does a review of the literature and doesn't even separate the papers that deal with idiosyncratic volatility and standard deviation of past returns as the volatility estimate? The authors just bunch them together and use the word "volatility". |
|
Nov 4 |
comment |
Why does $\hat{\epsilon}'\hat{\epsilon}$ of a factor model measure risk? That's a nice insight, but I'm still scratching my head as to why this is considered a legitimate view of the risk of a security from any perspective? Who cares if the trace of the variance covariance matrix is large? |
|
Nov 2 |
comment |
Individual/casual investors and the bias towards blue-chip stocks? @justin All I'm looking for is specific evidence that individual investors are biased against or towards large cap stocks. |
|
Nov 2 |
comment |
Individual/casual investors and the bias towards blue-chip stocks? Where does it say that individual/casual investors have a bias towards large or small stocks? |
|
Nov 1 |
comment |
Data on US bankruptcy rate vs. standard valuation ratios With Datastream it depends on when you ask for the constituent list. If you get stock prices from 1990 to 2010 and your constituent list is the 2010 list (by default), then you will have maximum survivorship bias. Sometimes this bias is impossible to overcome with Datastream. E.G. for Australia the list only goes back to 2000, so any analysis before then will have survivorship bias. |
|
Oct 28 |
comment |
Do low volatility stocks outperform high volatility stocks over the long run? Nice. Do you know if there are any counter-examples where research shows that historical standard deviation of returns is related to strong future performance? Or is there consensus on this issue that low standard deviation --> high returns? (I'm not talking about idiosyncratic volatility). |
|
Oct 28 |
comment |
Do low volatility stocks outperform high volatility stocks over the long run? For idiosyncratic volatility (e.g. standard deviation of residuals of the CAPM), the consensus seems to be that the question is not settled. Evidence is contradictory. For example Ang et al. (2006, 2009) find a negative relationship, but many others find a positive relationship. I am unfamiliar with the literature on using the returns standard deviation as the volatility though. |
