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"The same past data can confirm a theory and its exact opposite! If you survive until tomorrow, it could mean that either a) you are more likely to be immortal or b) that you are closer to death."


Aug
24
awarded  Popular Question
Aug
12
awarded  Popular Question
Jul
31
awarded  Notable Question
Jul
2
awarded  Curious
May
19
accepted Calculate alpha (CAPM) in “cross country-portfolio”
May
14
comment Calculate alpha (CAPM) in “cross country-portfolio”
Well, I was using simple returns, not exponential.
May
14
asked Calculate alpha (CAPM) in “cross country-portfolio”
May
4
awarded  Enthusiast
Apr
29
comment Stochastic Calculus in Quantitative analysis
You can also look in bjorks book Arbitrage Theory in continous time which is relatively comprehensive and not too technical. On the downside he is not very consistent with his notations inbetween chapters (it is as they are written at different times throughout his career and then mashed together).
Apr
29
comment Why are options called what they are called?
Just a remark: I dont think he would ask why they were called put and call if HE thought it was obvious.
Apr
27
comment Backtesting Period
I'm not entirely sure how your backtest procedure will look like, but I think this article may be of interest for you: papers.ssrn.com/sol3/papers.cfm?abstract_id=2308659 They talk about minimal backtest length in a sense to avoid overfitting, which is not entirely what you're asking for. It still might give you some ideas on what period to choose from that point of view.
Apr
21
revised Estimating Beta from unevenly spaced price history
Minor edit of "hats" since they were slightly difficult to see
Apr
21
suggested suggested edit on Estimating Beta from unevenly spaced price history
Apr
18
answered if technical analysis rules for predict stock prices is unique for all cases, why should we learn neural networks?
Apr
17
comment Engle Granger test returns a 0 in matlab, while correlation factor is .80+. Am I doing something wrong?
To answer your question. Correlation and cointegration is basically not the same thing. I wish I could answer your other question as well on Johansens (I think that was the test you used), unfortunately I don't know that test well enough to ensure my credibility.
Apr
16
comment Engle Granger test returns a 0 in matlab, while correlation factor is .80+. Am I doing something wrong?
I advice you to read a book on time series analysis. It is strongly recommended to know what you're doing in statistics.
Apr
16
comment Significance of Data
Is the question to recommend a book or to help you interpret the results? In case of the latter, then you should consider giving more details of the problem. It looks like you might be testing for stationarity of the cointegrated process (pair). It's very unclear though...
Apr
13
comment Pricing of a simple contingent claim
Hmm, it might be necessary in some cases. It worked nicely now since you took the power of an exponential, so you could just multiply the $\beta$ into the exponent and then the expectation became very easy. If this is not the case you should try to find the dynamics "of the whole claim" instead.
Apr
12
accepted Profiting from price discrepancies between stock exchanges
Apr
12
answered Pricing of a simple contingent claim