2,595 reputation
31740
bio website
location
age
visits member for 3 years, 2 months
seen 45 mins ago

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!
Apr
19
comment British hedge/mutual funds performance comparison website
The question has received three votes to reopen so I think we may well give it a chance.
Apr
18
comment Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff?
@blunders: Fund managers sometimes put a cap on AUM if they don't see adequate ROI opportunities for a larger pool of money.
Apr
18
comment Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff?
@blunders: Withdrawals?
Apr
16
comment How can an ETF outperform its benchmark index?
Thank you. I should have said 'a portfolio passively tracking the index'. Still I believe the fund managers do something non-orthodox since an index-tracking ETF typically trails its respective benchmark rather than outperforms.
Apr
7
comment Good quant finance jokes
The quant can have negative net worth.
Apr
6
comment Good quant finance jokes
That's a nice one!
Apr
3
comment Good quant finance jokes
Which might be viewed as a practical application of the no-arbitrage principle!
Mar
24
comment What are binomial trees and how are they used?
The question seems to be overly broad. Have you looked at the corresponding Wikipedia article (and the links provided therein)? en.wikipedia.org/wiki/Binomial_options_pricing_model
Mar
22
comment How do practitioners use the Malliavin calculus (if at all)?
@TheBridge, @quant_dev: The site is probably not the right place for heated debates which tend to get personal. The comments were edited accordingly. Meta is better suited for such a discussion.
Mar
10
comment How fast is QuickFix ?
+1. I like this answer!