6,243 reputation
31560
bio website chrisaycock.com
location New York, NY
age 33
visits member for 3 years, 9 months
seen 17 hours ago

Oct
25
revised Where can I find exercises on building a project finance spreadsheet?
Reformatted for Markdown.
Oct
25
comment Looking for analysis of NASDAQ suit?
Are you referring to the NASDAQ price-fixing scandal of the mid 1990's?
Oct
25
comment Whare are the common Global Asset Allocation indices?
Any chance you could compare against one of the big hedge-fund indices?
Oct
23
revised Why does the minimum variance portfolio provide good returns?
Cleaned-up the writing and formatting.
Oct
23
comment What is Heston's equation?
@nikita2 I do worry that the elliptic Heston operator is not a widely accepted term given that it doesn't appear in any peer-reviewed journal, and the few papers online seem to share the same particular co-author. If enough academics discover this work and agree with it, then the term may become more widely adopted; until then, you'll just get a lot of blank stares for using it in a sentence.
Oct
23
reviewed Looks OK How is a quanto priced?
Oct
23
revised How is a quanto priced?
Edited to be clearer, I think. The original wording was very confusing, especially related to quantos.
Oct
23
comment How is a quanto priced?
Does this paper help?
Oct
23
answered What is Heston's equation?
Oct
23
revised What is Heston's equation?
Corrected equation. Rewrote copy to be more idiomatic English
Oct
23
revised Resources for performance statistics of trading systems
Inlined the links
Oct
23
revised Technology stack used in Bloomberg
Inlined the link
Oct
23
comment forward- and backward adjusting stockprices
@Paznaz If you have a question about anything relating to this site, leave a comment like everyone else. Do not email my personal account about issues related to Stack Exchange.
Oct
22
reviewed Reviewed Utility to download historical Implied Volatility data from Interactive Brokers?
Oct
22
reviewed Leave Open Alternative liquidity measures
Oct
22
comment forward- and backward adjusting stockprices
Forward-adjusting is preferable because it prevents negative prices, not because of some fear of look-ahead bias.
Oct
22
comment forward- and backward adjusting stockprices
@Paznaz Who claims this? Show us an example. Adjusting a stock price for corporate actions is a requirement, not some fuzzy approach to valuation. There is no "bias" when subtracting dividends that have already been paid, or multiplying the shares outstanding by a split that has already occurred.
Oct
21
revised Can the Hurst exponent be greater than one?
Cleaned-up writing
Oct
20
answered Calculating the right portfolio(position size for each leg) in a Long/Short Strategy
Oct
20
revised Multi Factor Credit Risk Models
Inlined link and corrected grammar.