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Apr
10
comment Explain the unconditional covariance in Dynamic Conditional correlation( DCC ) GARCH model
Please be straight to the point when answering, it's just clearer for everybody.
Apr
10
revised Explain the unconditional covariance in Dynamic Conditional correlation( DCC ) GARCH model
formatted the question correcly
Mar
25
revised What is a “coherent” risk measure?
deleted 8 characters in body
Mar
24
revised In Dupire's paper, why is $(S_t, t)$ in the $(K, T)$ space?
added 29 characters in body; edited title
Mar
20
comment dividend cash in month
This site is dedicated to quantitative finance professionals, see help center.
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