5,364 reputation
21040
bio website blog.smaga.ch
location Geneva, Switzerland
age 28
visits member for 3 years, 2 months
seen 1 hour ago

Investment Analyst in an asset allocation firm in Geneva.


Aug
26
comment What is “high frequency quoting” or “quote spam”?
This is bad is arguable though. Depends on your standpoint I guess. You're probably right from a global market perspective though.
Aug
26
revised What is “high frequency quoting” or “quote spam”?
deleted 4 characters in body
Aug
26
reviewed Reviewed What is the difference between convertible bond and bond with warrant?
Aug
26
comment What is the difference between convertible bond and bond with warrant?
So a bond with warrant is really simply a bond plus a call on a stock right?
Aug
26
revised What is the difference between convertible bond and bond with warrant?
deleted 23 characters in body
Aug
26
reviewed Edit Example code for “Gauge Invariance, Geometry and Arbitrage” paper
Aug
26
revised Example code for “Gauge Invariance, Geometry and Arbitrage” paper
retagged, formatting
Aug
26
comment Example code for “Gauge Invariance, Geometry and Arbitrage” paper
He's not asking someone to write to code for him, he's asking if one has an implementation example to share. It's not really the same.
Aug
26
revised How to compute the volume of an index from the volume of its constituents?
added 3 characters in body; edited tags; edited title
Aug
25
reviewed Reviewed Pairs trading: Question on non-negative profits, size of the positions and trading signals
Aug
25
revised Pairs trading: Question on non-negative profits, size of the positions and trading signals
adds math formatting
Aug
25
reviewed Reviewed What C++ math libraries are typically used by quants?
Aug
25
comment What C++ math libraries are typically used by quants?
Could you please provide some links to enhance a bit the content of your answer?
Aug
20
comment Black (1976) model: boundary conditions with non-convergence of spot and forward prices
@JoaoSerafim please use the math formatting feature of the site it really makes quesations and comments more readable.
Aug
20
revised Black (1976) model: boundary conditions with non-convergence of spot and forward prices
math formatting
Aug
19
comment VaR Calculation - Covariance matrix is not positive semidefinite
Be careful to distinguish the variance of a portfolio and its VaR that stand for Value At Risk. I guess your are trying to compute the Variance $\sigma^2$, and this question is hence barely on-topic, since it is basic quantitative finance.
Aug
18
answered How to compute a sector's volatility within a portfolio?
Aug
18
revised How to compute a sector's volatility within a portfolio?
added 6 characters in body; edited title
Aug
12
reviewed Reviewed Excellent information source on advanced machine learning / data mining based trading?
Aug
12
reviewed Reviewed Papers about risk managment in algorithmic trading systems?