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Jan
31
awarded  Yearling
Jan
9
asked Term structure of default probabilities without market data
Dec
27
comment Credit Rating or Probability of Default from Financial Ratios
I've relatively exhaustive research in this particular area, never came across anything similar to what you're asking for though. I'm interested in the literature as well if you find any. Best of luck!
Oct
13
comment How to implement the herding measure proposed by Lakonishok et. al (1992) in python
Sorry @roland, I'm not familiar with this model. Also I don't have time to get acquainted with it for the time being, although I find it very interesting. I assume it's herding as in the behavioral finance term you're refering to?
Oct
13
comment How to implement the herding measure proposed by Lakonishok et. al (1992) in python
In all the literature I've read, Bernoulli r.v.'s are just one outcome, 0 or 1, whereas the distribution you're talking about is called Binomial. In other words, Binomial is a sequence of bernoulli-distributed r.v.'s
Sep
24
awarded  Autobiographer
Sep
8
comment Efficient Markets Paradox
Well, ok. My point being that it is based on the assumption that we are completely rational, where in fact there are lots of other factors (other than financial) that influence how we make decisions. I'm sure there are lots of taders that think they have superior information, although that might not be the case.
Sep
6
answered Efficient Markets Paradox
Sep
5
answered Would this extremely simple strategy make money?
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.