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7h
comment How to price this zero-coupon bond using a replicating portfolio?
This site is dedicated to quantitative finance professionals, see help center. This is basic finance (arguably almost no quant), hence off-topic.
Apr
10
comment Source for Normalized File of ETF Holdings
We're trying to have all data sources question in the same thread and to avoid create new ones.
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.
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
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
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
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
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
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
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
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?
Mar
11
comment How important is the limit order book?
What papers are you referring to?
Mar
11
comment How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP methods in Excel
I'm fine with that I'm just saying your question (not the answer) is a bit "light" and would deserve a bit of embedded background and references. I'd advise you to mention in your answer that you created the spreadsheet.
Mar
10
comment How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP methods in Excel
Do you have anything to do with the spreadsheet? With the original/new paper? Your question is not clear enough by the way, like we would like to have a link to the model you refer to, probably integrate in there the main equation. I'd have closed this straightaway.
Mar
10
comment How to implement Konno's Mean-Absolute Deviation Portfolio Optimization Model using LP methods in Excel
What is that supposed to mean you do the question and the answer in quick succession?