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May
9
comment Best way to store hourly/daily options data for research purposes
@kristine, Freddy: The main site is not the place to engage into heated debates on plagiarism issues. Feel free to use meta.quant.stackexchange.com instead. In any case, please try to stay constructive and avoid personal attacks.
May
9
comment Best way to store hourly/daily options data for research purposes
@Freddy, kristine: Please try to keep any discussion in the comments brief and to the point. Irrelevant comments deleted.
Feb
21
comment Reference on SDE driven by jump processes
What kind of a reference are you looking for? There's a lot of stuff on SDEs with jumps out there...
Feb
7
comment Calculating VaR/CVaR on high frequency data and returns
All comments have been deleted. (Comments should be purged when they have degraded into pointless bickering and / or noise, and the entire set is unsalvageable.)
Apr
20
comment application of lie groups in finance
I've even seen some applications of Lie algebras to option pricing (in the academic literature, needless to say). I'll try to compose an answer over the weekend.
Mar
29
comment what are the most common explanations of the January effect?
Have you looked at the related wiki article en.wikipedia.org/wiki/January_effect ? As far as I remember, this and other popular anomalies are discussed in quite a detail in Jeremy Siegel's book.
Jan
10
comment What is the optimal strategy when there is an equal chance for gain or loss but the size of the potential gain is larger?
@Ray: Thanks for your comments. I cannot give you a precise reference at the moment although this should be rather standard stuff in the theory of portfolio management. You might want to post this as a separate question.
Jan
3
comment How do you mix quantitative asset allocation with qualitative views?
+1. Good question. How about the 'agnostic average' $w=0.5w^*+0.5\bar{w}$? Just joking.
Jan
3
comment What are some of the major quantitative approaches to tactical asset allocation?
@ Tal Fishman: Traditionally, the 'big list' questions have been made CW. See e.g. questions quant.stackexchange.com/questions/431/… quant.stackexchange.com/questions/156/… quant.stackexchange.com/questions/141/…. As far as I know, this is also an accepted practice on some other SE sites such as math.se. But probably this needs to be clarified with SE administrators/discussed on meta.
Jan
3
comment What are some of the major quantitative approaches to tactical asset allocation?
@ Tal Fishman: basically you are asking for a list of models, and there is no such thing as the 'correct' answer to the question. I guess this implies that the question should be made community wiki, no?
Dec
20
comment When is the LIBOR market model Markovian?
Thank you for the answer and welcome to Quant.SE!
Sep
30
comment How to estimate probability of default from bond prices?
@ SpeedBoots: to get your LaTeX rendered properly, you can just wrap an in-line expression in single dollar signs and a separate equation in double dollar signs.
Sep
29
comment Excellent information source on advanced machine learning / data mining based trading?
+1. Welcome to the site and thank you for the contribution.
Sep
29
comment How does volatility affect the price of binary options?
Hi CQM, and thanks for the question. Have you considered registering on the site? It’s easy to register and you will be able to do more on the site, such as vote.
Sep
23
comment Empirical or theoretical quant insights that have shaped your thinking?
@ Quant Guy: Converted to community wiki.
Sep
22
comment What papers have progressed the field of quantitative finance in recent years (post 2000)?
@Drew Christianson: Hi, and welcome to the site. Since your question cannot have a unique "correct" answer, I've made it community wiki.
Sep
22
comment What position-sizing methods are used in futures trading?
Hi dvegadvol, and welcome to the site. It would help if you give some reasons for why you are asking the question. Why exactly are you not happy with the optimal/fractional Kelly criterion?
May
23
comment If I have a model that gives 10% “probability edge” over random chance, how do I calculate the position size?
As stated, the problem has a unique and precisely determined solution. Now, the crucial part of the story is to estimate $\mu$ and $\sigma$ for the specific gambling or investing game one is interested in.
May
23
comment If I have a model that gives 10% “probability edge” over random chance, how do I calculate the position size?
Have you looked at the Wikipedia article I had linked to? The position size is determined by the expected payoff $\mu$ and its volatility $\sigma$. Roughly speaking, a Kelly player bets $\mu/\sigma^2$ of their capital at each opportunity.
May
22
comment Looking for a recommendation for a real life volatily trading book.
and user772: Please refrain from endorsing any kind of copyright infringement on this site. The answer and comment have been edited accordingly. Thanks!