chrisaycock
Reputation
94/100 score
 May29 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. May27 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. May25 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. May22 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. May19 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. May18 comment Measuring co-movement at non-constant intervals Are you referring to Kendall's W? May15 revised What data sources are available online? The Econ.SE site is no more, but the data sources were put on CV. May14 revised Is there a closed-form solution for the partial autocorrelation function of a Markov regime-switching process? LaTeX formatting May13 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. May13 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. May13 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. May13 answered Exercising an American call option early May12 revised Is it ever possible that---because of illiquidity---exercising an out-of-the-money option is better than directly buying the stock? added 2 characters in body May12 answered Is it ever possible that---because of illiquidity---exercising an out-of-the-money option is better than directly buying the stock? May12 revised Is it ever possible that---because of illiquidity---exercising an out-of-the-money option is better than directly buying the stock? English May12 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. May12 revised How to build a mean reverting basket? rolled back to a previous revision May10 revised GJR-GARCH Model In R English May8 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. May6 revised HFT - How to define and measure latency? Removed signature, rewrote copy to be more idiomatic.