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Sep
24
comment How to replicate a digital call option
The payout is discontinuous, it's the delta that has extreme slope around the strike.
Jul
17
comment How useful is the genetic algorithm for financial market forecasting?
But there is a significant difference between overfitting the sample (bad) and fitting the population (good). That is why many suggest you cross-validate your algorithm with out-of-sample testing.
Mar
18
comment Is Optimization ignoring correlation valid?
Are your backtested performance results Sharpe ratios or returns? The tangency portfolio in a no-covariance scenario could have higher returns (but lower Sharpe) than where you have positive and possibly negative covariances.
Jan
25
comment Why do low standard deviation stocks tend to have superior future returns?
Do you mean risk-adjusted returns?