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Jul
18
comment Why do stocks fall so quickly? Technical explanations
Not apart from the dozens (hundreds?) of papers that have been written on the subject.
Jul
9
answered Why do stocks fall so quickly? Technical explanations
Jun
18
comment LIBOR with different tenor
Didn't you already ask this once? What happened to that question?
Jun
18
comment Can Gaussianity of returns depend on the time frame?
Yes, the variance ratio test is based upon the non-Gaussian scaling of aggregated data. Long story short, it's not always Gaussian, but nor is it completely unpredictable. "An Introduction to High-Frequency Finance" goes into the scaling properties of high-frequency data in some detail. You might also be interested in the "Epps effect" which distorts the autocorrelation and IID properties of high-frequency trade data.
Jun
17
comment Sharpe ratio and leverage
Yup, I deleted my comment, you are correct.
Jun
14
comment What are “Autoquotes”?
That sounds like pre-Reg-NMS stuff, I am almost (but not quite) certain that quotes like that are now protected, and must be traded through. I wonder why, in 2008, people were still writing about locked markets in 2003... 2005 was when Rule 611 came into effect, I think...
Jun
1
comment SABR calibration: simple explanation and implementation
Does anyone know the derivation of the approximations Sibetz Nowak uses on Slide 34? eg $f-K = sqrt(fK)log(f/K)[1+(1/24)log^2(f/K)+(1/1920)log^4(f/K)]$ It's clearly some kind of series expansion, but I can't seem to find the source.
May
25
answered What's the point of discounting in risk-neutral pricing?
May
14
comment What is the best alternative of Quantlib library
FINCAD has the F3 product, which is very flexible, and has built-in adjoint algorithmic differentiation, for very fast risk calcs. It is implemented internally in C++, but they have supported bindings for Java, .NET, MATLAB, and maybe Python. Disclosure: I work for FINCAD.
Apr
3
awarded  Student
Apr
2
asked Free source of historical ETF units outstanding data?
Mar
8
awarded  Tumbleweed
Mar
1
asked Correction factors for volatilities of smoothed returns
Feb
11
comment How to apply the “Knapsack Problem” to minimise a portfolio's volatility?
Cardinality-constrained with inequalities optimization is pretty interesting stuff. di.ens.fr/~aspremon/PDF/MeanRevVec.pdf is a good resource (and his other papers) for some alternatives to LASSO, though I haven't gotten around to implementing myself yet.
Jan
24
answered Black-Litterman, how to choose the uncertainty in the views $\Omega$ for smooth transitions form prior to posterior
Jan
23
comment Any New Discoveries in Quantitative Finance?
The field is not stagnant; HJM/BGM models were huge advances. CVA->XVA is a big deal, and funding issues in general. Local volatility was a brilliant derivation. Replication with market impact is ongoing. There's tons of stuff happening, but I don't think that "Scalar" model is a part of it, at all. EDIT: In fact, I'm a little suspicious that this entire post is to drive traffic to that wiki "user" page.
Jan
1
answered Why is there onshore and offshore currency?
Dec
24
awarded  Yearling
Dec
22
comment How to price a futures spread option?
Might be simpler to model the spread directly as a normal process, then price with a Bachelier model? Otherwise you could check Haug's book, I don't have it handy...
Dec
8
comment Combine together different strategies in one portfolio
I guess it depends how sophisticated you want to get. Equal weight is or equal risk is pretty simple. Optimizing multivariate empirical distributions is harder. Meucci's book might have something to say on this, though I admit I haven't gotten around to reading it yet.