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visits member for 1 year, 2 months
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Jul
19
revised DCF Zero Coupon Bond
Improved grammar and punctuation.
Jul
19
comment corporate action data
This is a site for professional quants, and in accordance to the criteria for what is on-topic, questions asking for sources of data are discouraged.
Jul
19
comment What is the smart way to reallocate money?
I voted to close this as it asks for a "smart way". The adjective "smart" points to something open-ended and subjective, all of which, with agreement from @Quantlbex, validates removal.
Jul
19
comment Definition of risk factors for market risk scenario testing
I voted to close this as it asks for interpretation of scenarios - something open-ended and subjective, all of which, with agreement from @Quantlbex, validates removal.
Jul
19
comment different amount of information on return correlations from shorter and longer periods?
The question seems to be asking about what is "standard practice", which is open-ended and subjective.
Jul
19
suggested suggested edit on DCF Zero Coupon Bond
Jul
19
suggested suggested edit on Convexity adjustment
Jul
19
comment Total number of currency transactions
This question appears to be off-topic because it suggests that the user is not a working quant.
Jul
19
comment fetch from yahoo! finance database - varying number of ticks
Fetching data should be the work of a database administrator, not quant professionals.
Jul
18
awarded  Informed
Jul
9
answered How to deal with zeroes in returns?
May
9
comment Best way to store hourly/daily options data for research purposes
@Freddy: Thanks, Freddy. Please read point (2). It's expensive to colocate your persistence server and the trade-off is unnecessary for the OP since his latency/bandwidth objectives are not just smaller by several orders of magnitude, it's smaller by astronomical orders of magnitude (28 per second vs 30,000,000 per second).
May
9
awarded  Critic
May
8
answered Best way to store hourly/daily options data for research purposes
Apr
17
comment Best tool to generate cashflow diagrams
Yes I could, but it appears from his question that he asked for a good tool, not specific commands.
Apr
16
answered Best tool to generate cashflow diagrams
Mar
8
comment Predict Market Direction, What is forecastable/unforecastable?
Just adding my opinion that this sounds like a homework question so you might not get your desired answer. I'd consider giving some intuition behind your question.
Feb
23
awarded  Enthusiast
Feb
3
comment Kelly criterion and Sharpe ratio
Thanks, Freddy.
Feb
3
comment Kelly criterion and Sharpe ratio
(1) I agree that the Kelly formula has no place in standard practice, but this is off-topic. (2) However, with regards to the jessica's question, there is an intuitive relationship and it is well-defined in the original literature (edwardothorp.com/sitebuildercontent/sitebuilderfiles/…, equation 7.3) though glossed over because it is akin to redundant substitution. I should point out to you that the Sharpe ratio is defined as the excess return over the standard deviation of return.