5,646 reputation
21343
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 8 months
seen yesterday

Strats in a commodity trading firm in Hong Kong.


Jun
2
comment What are the steps to perform properly a risk factor analysis on a portfolio?
Great answer thanks!
Jun
2
accepted What are the steps to perform properly a risk factor analysis on a portfolio?
May
30
comment generating (or tracking) the DJUBS commodity index
And probably you should add along with the code what the procedure in the manual is. Or at least provide the link to it.
May
29
comment What are the steps to perform properly a risk factor analysis on a portfolio?
I was looking for something not too complicated an commonly use, but I'm of course open to any good procedure...
May
29
asked What are the steps to perform properly a risk factor analysis on a portfolio?
May
29
revised How to perform risk factor calculation?
mathematical signs, tagged
May
29
revised How to perform risk factor calculation?
squared the sigma in formula denominator
May
29
revised Optimal execution and reinforcement learning
removed accronyms
May
29
comment Optimal execution and reinforcement learning
I like the question, but please avoid the acronyms like "ML", "RL", it makes it difficult to read. I corrected the onea I knew but "LOB"? no idea. You could also create links for the papers to improve the quality of the question.
May
29
comment Which greeks do you need to hedge if you want to implement an implied-volatility security?
Yes please! Put the links at the bottom of the post if you have them.
May
29
comment Which greeks do you need to hedge if you want to implement an implied-volatility security?
I agree, it was part of the answer I expected.
May
28
revised Reseach on when people/institutions sell?
deleted 28 characters in body
May
27
revised What is a commonly accepted econometric model for volume?
retagged
May
27
revised How to find the upper bound of a digital option given some market data?
rephrased the title
May
27
comment How to find the upper bound of a digital option given some market data?
$\mathcal{N}(\cdot)$ is a cumulative distribution function. Hence, the image of $\mathcal{N}$ is clearly $[0,1]$.
May
15
accepted Which greeks do you need to hedge if you want to implement an implied-volatility security?
May
9
asked Which greeks do you need to hedge if you want to implement an implied-volatility security?
May
8
reviewed Approve suggested edit on market-microstructure tag wiki
May
8
reviewed Approve suggested edit on cointegration tag wiki
May
7
accepted What are the applications of cointegration?