Alexey Kalmykov
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 Mar 13 answered main arbitrage & statistical arbitrage concepts Mar 13 answered Calculate the expectation of a shift CDF Mar 11 comment Square root of time It doesn't hold for simple returns, i.e. $S_{t_2} - S_{t_1}$ is not normally distributed under assumption that $S$ is a Geometric Brownian Motion. Mar 8 revised Comparing Cash Equivalent of risky portfolios added 164 characters in body Mar 8 comment Comparing Cash Equivalent of risky portfolios @Omar Good question. In this particular paper the only reason I see is to make their numbers comparable with the results of other papers. Also note that CE are used for risk premia calculations. I will add this to my answer. Mar 7 comment Comparing Cash Equivalent of risky portfolios @Freddy Let's take a step back. The question was simple: "why one number got under unrealistic assumptions is better than another number got under the same unrealistic assumptions?" The answer is: due to the independence of measurment units. That's it. Mar 7 comment Comparing Cash Equivalent of risky portfolios @Freddy I undestand your (valid) criticism of expected utility framework, i.e. one number representation. But this has nothing to do with CE specifically. Mar 7 comment Comparing Cash Equivalent of risky portfolios @Freddy "this only works if the portfolio is a risk free portfolio" how did you came to that conclusion from my answer? "CE can be identical for two portfolios with entirely different risk reward profiles" Sure, it can. As well as utility. CE introduces no new assumptions to utility framework (apart being able to inverse utility function). Mar 7 revised Comparing Cash Equivalent of risky portfolios added 10 characters in body Mar 7 revised Comparing Cash Equivalent of risky portfolios deleted 4 characters in body Mar 7 comment Comparing Cash Equivalent of risky portfolios @Freddy sure. updated the answer. Mar 7 revised Comparing Cash Equivalent of risky portfolios added 712 characters in body Mar 7 comment Comparing Cash Equivalent of risky portfolios @Freddy "CE is suggesting we all set our utility equal" not really. Mar 7 answered Comparing Cash Equivalent of risky portfolios Mar 4 reviewed Approve Regression in liquidity risk model of Jarrow/Protter Mar 4 asked Regression in liquidity risk model of Jarrow/Protter Mar 4 revised How to perform Empirical Mode Decomposition? edited tags Mar 3 reviewed Approve Is F# used in trading systems? Mar 2 comment Is it worth preserving orderbook structure when building it from individual orders? @DmitriNesteruk I assume you are re-cosntructing the order book from a raw message stream data coming from an exchange. Then you should also receive messages that a certain order has been executed and handle them properly. Mar 2 answered Is it worth preserving orderbook structure when building it from individual orders?