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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 2 years, 4 months |
| seen | 2 hours ago | |
| stats | profile views | 144 |
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Dec 4 |
revised |
Why is volatility mean-reverting? deleted 27 characters in body |
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Dec 4 |
comment |
Why is volatility mean-reverting? @pteetor: I added my response as an edit to my answer. |
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Dec 4 |
revised |
Why is volatility mean-reverting? added 3333 characters in body |
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Oct 25 |
accepted | What procedure do leveraged ETFs use to limit losses? |
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Oct 25 |
revised |
What procedure do leveraged ETFs use to limit losses? added 384 characters in body |
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Oct 21 |
comment |
In a covered call strategy, should I hold the call or sell/roll if the delta becomes too small? You might want to show some quotes on a specific stock (with bid/ask quotes). Liquid options might give you one answer while illiquid options give another answer. |
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Oct 21 |
asked | What procedure do leveraged ETFs use to limit losses? |
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Oct 20 |
answered | How to price a volatility-index option? |
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Oct 11 |
revised |
How do earnings estimates respond to changes in underlying fundamentals and economic conditions? added 150 characters in body |
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Oct 11 |
revised |
How do earnings estimates respond to changes in underlying fundamentals and economic conditions? added 436 characters in body |
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Oct 11 |
revised |
How do earnings estimates respond to changes in underlying fundamentals and economic conditions? added 436 characters in body |
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Oct 11 |
comment |
How do earnings estimates respond to changes in underlying fundamentals and economic conditions? @Tal: As far as papers go... Until the blow up of 2000-2003, retail traders seemed to pay attention to analysts forecasts and recommendations. I haven't looked for papers documenting the die-off of that phenomenon, but from anecdotal evidence, it seems to be gone. It may now show up in a different form. I'll do some more looking and post anything I find. |
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Oct 11 |
comment |
How do earnings estimates respond to changes in underlying fundamentals and economic conditions? @Tal: All I can say is, try it for a while. You won't have to wait long. Keep your own version of the "Detail History" (quarterly should be good enough) and watch the Exclfil* file closely. When it changes, e-mail IBES and ask why, and ask if it affects the composite earnings forecast. |
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Oct 11 |
comment |
How do earnings estimates respond to changes in underlying fundamentals and economic conditions? @Tal: That wasn't a tirade against IBES, I simply linked a couple of papers. As stated above, the analysts may be the issue, not earnings. |
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Oct 11 |
revised |
How do earnings estimates respond to changes in underlying fundamentals and economic conditions? added 91 characters in body |
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Oct 11 |
answered | How do earnings estimates respond to changes in underlying fundamentals and economic conditions? |
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Sep 30 |
comment |
Fitting a generalized logistic distribution I was looking at the partials in the following link, trying to set up a Jacobian, and noticed some differences in the form of your equation and their equation. Is there a reason for the differences (for example, the 1/v term)? en.wikipedia.org/wiki/Generalised_logistic_function |
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Sep 30 |
comment |
Fitting a generalized logistic distribution Assuming that you're recalculating the Jacobian Matrix over and over, have you watched the Jacobian to see if it has any spikes or unstable swings from positive to negative? If so, you might look into "clamping" the matrix values to be within reasonable ranges. |
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Sep 26 |
revised |
How to calculate compound returns of leveraged ETFs? deleted 1 characters in body |
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Sep 26 |
answered | How to calculate compound returns of leveraged ETFs? |
