5,924 reputation
21544
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 10 months
seen 6 hours ago

Strats in a commodity trading firm in Hong Kong.


Oct
29
revised How to model the effect of earnings surprises on long-term returns?
removed courtesies; rephrased question
Oct
28
revised Variability in the Expected Shortfall estimator
added 96 characters in body
Oct
28
revised How to get Black Scholes' Geometric Brownian Motion differential form form the closed form?
edited title
Oct
28
answered Variability in the Expected Shortfall estimator
Oct
28
revised How to get Black Scholes' Geometric Brownian Motion differential form form the closed form?
added 15 characters in body; edited title
Oct
28
revised How to get Black Scholes' Geometric Brownian Motion differential form form the closed form?
added 394 characters in body
Oct
28
revised How to get Black Scholes' Geometric Brownian Motion differential form form the closed form?
added 15 characters in body; edited title
Oct
28
answered How to get Black Scholes' Geometric Brownian Motion differential form form the closed form?
Oct
24
comment What machine learning method is more suitable for prediction of financial time series?
What method did you use with SVM? Where do you think it has problems? This is just too vague in the current state, you can edit it to make it generic (i.e. by making the strategy public) and I'll reopen it.
Oct
24
revised What machine learning method is more suitable for prediction of financial time series?
removed courtesies
Oct
23
revised How to avoid having negative volatility when applying Heston model?
rephrased question
Oct
23
revised Where can I find a list of VaR and CVaR formulas for continuous distributions?
retagged, rephrased question
Oct
23
comment Where can I find a list of VaR and CVaR formulas for continuous distributions?
Great link I think. +1
Oct
23
revised What is the formula for beta weighted delta and gamma?
formatting, removed courtesies
Oct
22
comment If I am very fast (less than 10 microseconds latency) what would be the first strategy to execute?
Hi TraderJenny, broad questions about developing a trading strategy are off-topic here.
Oct
17
reviewed Reviewed Can we trade option spreads with more than 4 option legs?
Oct
17
revised Can we trade option spreads with more than 4 option legs?
improved formatting, rephrased question
Oct
17
reviewed Leave Closed Forex buying 2000+ pip difference
Oct
17
reviewed Reviewed Why does the minimum variance portfolio provide good returns?
Oct
17
comment Why does the minimum variance portfolio provide good returns?
Assumptions on Equities skewness or any statistical properties is at the discretion of the investor right? Technically risk should be rewarded by expected return, if that's not the case, then why don't you simply invest in the risk-free rate?