6,133 reputation
31558
bio website chrisaycock.com
location New York, NY
age 32
visits member for 3 years, 5 months
seen yesterday

May
29
revised What are the steps to perform properly a risk factor analysis on a portfolio?
added 1 characters in body
May
29
comment What are the steps to perform properly a risk factor analysis on a portfolio?
Are you iteratively subtracting-out the considered factor from your portfolio before computing the impact/beta of the next factor? I assume you're already doing that, which should have given you the linear independence you want.
May
27
comment How to find the upper bound of a digital option given some market data?
Is this a homework assignment? I notice you posted some questions on Math.SE and were called-out there too for posting school work with no effort.
May
25
comment How to calculate the weight of the stocks using the linear regression?
Seven of your 11 questions on here have been closed. Given the sheer volume of warnings you've received, you should know by now what's considered appropriate level of material.
May
22
comment Good Environment, Social, and Governance Indicators to correlate with financial performance of PE
Before digging-up private equity data (which will take resources), at least confirm your hypothesis in the public markets. Look at an index of vice stocks vs an index of socially responsible stocks to see if there are persistent performance differences.
May
19
comment Hedging stocks with VIX futures
This is a nice video. It might help if you summarize its explanation of VIX with reference to the question of hedging stocks.
May
18
comment Measuring co-movement at non-constant intervals
Are you referring to Kendall's W?
May
15
revised What data sources are available online?
The Econ.SE site is no more, but the data sources were put on CV.
May
14
revised Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process?
LaTeX formatting
May
13
comment Exercising an American call option early
Right, that's another good argument. If you believe the stock will continue to climb, just wait since the cash for your margin deposit can accumulate interest. If you believe the stock will fall and you don't want to pay the short-sell interest, then just sell the option, as @Alexey states.
May
13
comment Exercising an American call option early
Do you know what short selling is? I've mentioned it twice because it's the classic textbook argument against early exercise. If the stock is at \$40 now and you believe it will drop to \$15 by expiration, short the stock now, let your option expire, and then buy back the stock ("cover your short" in industry jargon) on the regular market.
May
13
comment Exercising an American call option early
What are you talking about?! If you exercise now, you pay \$20 and sell at \$40. But the only reason to exercise now is if you believe \$40 is the highest the stock will get. It's foolish to exercise now if you believe the stock will go higher. If you believe the stock will max-out at \$40, then short it now and wait until the expiration to see what the market price is before buying it back. The market price could be lower than the exercise price, which is why you'd be giving-up money to exercise now if you believe it's going to fall further.
May
13
answered Exercising an American call option early
May
12
revised Is it ever possible that---because of illiquidity---exercising an out-of-the-money option is better than directly buying the stock?
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May
12
answered Is it ever possible that---because of illiquidity---exercising an out-of-the-money option is better than directly buying the stock?
May
12
revised Is it ever possible that---because of illiquidity---exercising an out-of-the-money option is better than directly buying the stock?
English
May
12
comment How to build a mean reverting basket?
@lehalle I've rolled back your edit since the question never mentioned "cointegration". I feel like a broken record here.
May
12
revised How to build a mean reverting basket?
rolled back to a previous revision
May
10
revised GJR-GARCH Model In R
English
May
8
revised What exactly is meant by “microstructure noise”?
Not sure why this is addressing the answer to someone, especially since that user didn't ask the question.