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 Jul2 comment Bracket-Notation in SDEs This is a standard notation for the quadratic variation of a stochastic process: en.wikipedia.org/wiki/Quadratic_variation May9 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. May9 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. Feb21 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... Feb7 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.) Apr20 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. Mar29 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. Jan10 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. Jan3 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. Jan3 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. Jan3 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? Dec20 comment When is the LIBOR market model Markovian? Thank you for the answer and welcome to Quant.SE! Sep30 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. Sep29 comment Excellent information source on advanced machine learning / data mining based trading? +1. Welcome to the site and thank you for the contribution. Sep29 comment How does volatility affect the price of binary options? Hi CQM, and thanks for the question. Have you considered registering on the site? Itâ€™s easy to register and you will be able to do more on the site, such as vote. Sep23 comment Empirical or theoretical quant insights that have shaped your thinking? @ Quant Guy: Converted to community wiki. Sep22 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. Sep22 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? May23 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. May23 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.