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Mar
19
comment How to compute the conditional expected value of a geometric brownian motion?
Correct me if I'm wrong, but $\mathbb{E}[X|X<z] \neq \mathbb{E}[X\mathbb{I}_{X<z}]$ right? The first being conditional expectation and the second being called partial expectation apparently?
Mar
18
revised How to compute the conditional expected value of a geometric brownian motion?
edited body; edited title
Mar
18
comment How to compute the conditional expected value of a geometric brownian motion?
Well then isn't that the definition of conditional expectation?
Mar
18
revised How to compute the conditional expected value of a geometric brownian motion?
deleted 8 characters in body; edited title
Mar
18
comment How to compute the conditional expected value of a geometric brownian motion?
Ok then I changed it back, but aren't you looking to compute the expectation of the return give the return is below $z$?
Mar
18
comment How to compute the conditional expected value of a geometric brownian motion?
I think conditional expection is a more usual way to describe this.
Mar
18
revised How to compute the conditional expected value of a geometric brownian motion?
added 125 characters in body; edited tags; edited title
Mar
18
comment How to measure interest rate risk of an equity?
Please avoid using abbreviations in your questions, as it makes it less globally understandable. Like what is XLU, what is ZB, what is DV01 (I "corrected" that one)?
Mar
18
revised How to measure interest rate risk of an equity?
rephrased as question, formatting
Mar
18
comment In a FX options book, is the sum of P&L equal to the portfolio value?
Why wouldn't it be? Do you have an example?
Mar
18
revised In a FX options book, is the sum of P&L equal to the portfolio value?
edited title
Mar
16
awarded  Popular Question
Mar
16
comment Can you explain me these comments on high frequency data?
It would always be good to include them in the question as a reference. Context might help us answer your question, for example.
Mar
16
comment Except Zipline, are there any other Pythonic algorithmic trading library I can choose?
Then you should include these inside your answer, stating very clearly that you're part of the project.
Mar
13
revised How do you estimate the capacity of a strategy from historical data?
rolled back to a previous revision
Mar
13
comment What is a canonical book or article to learn pair trading?
Wow, the comments on the Amazon page don't suggest it's that good...
Mar
12
comment How to estimate parameters of geometric brownian motion with time-varying mean?
What would actually be awesome is if could post your code here! I'm sure it would definitely help other people in the future!
Mar
12
revised How to estimate parameters of geometric brownian motion with time-varying mean?
edited title
Mar
12
comment Can you explain me these comments on high frequency data?
Would have been good to have a supporting research paper for your first point. It's not really clear to me that the fact that sometimes there are more trades than other induces serial correlation. Regarding your second statement, isn't the fact that a fair price of 1.4 tick away would have to move only 1 tick offsetting the 1.6 case?
Mar
12
comment Can you explain me these comments on high frequency data?
What are the slides you're talking about? Are they available somewhere? What is it in the statements that you don't understand? Is it that you don't understand or don't agree?