Reputation
1,262
Top tag
Next privilege 1,500 Rep.
Approve tag wiki edits
Badges
4 12
Newest
 Yearling
Impact
~6k people reached

  • 0 posts edited
  • 0 helpful flags
  • 63 votes cast
May
19
answered The source of “Cost of hedging” in the Black Scholes model
May
13
reviewed Approve Regressing NYSE returns: Lagged intercept term & efficient market hypothesis
May
6
reviewed Approve References on Statistical Arbitrages
May
6
reviewed Approve Bond in relation to US T-Bill/Risk-Free rate
Apr
30
reviewed Approve New ways of communicating risk
Apr
22
reviewed Approve Technical analysis - Calculating Aroon Indicator Serie
Apr
15
reviewed Approve How to get positions of your portfolio from Interactive Brokers with python ibPy?
Apr
7
comment Please give a step-by-step explanation on how to build a factor model
I added the links to the sources that I mention. When I wrote the answer I was on the road, but I agree that a complete answer should have the links included.
Apr
7
revised Please give a step-by-step explanation on how to build a factor model
Added links to all the papers
Apr
4
reviewed Approve Johansen Cointegration Test
Apr
1
revised Please give a step-by-step explanation on how to build a factor model
edited body
Apr
1
comment How to test the 5 Factor CAPM of Fama & French (2014)?
Maybe this post will help you. If not, write me again quant.stackexchange.com/questions/17125/…
Apr
1
answered Please give a step-by-step explanation on how to build a factor model
Mar
19
revised How to compute the conditional expected value of a geometric brownian motion?
added 142 characters in body
Mar
19
comment How to compute the conditional expected value of a geometric brownian motion?
Yes, the two are different. The two are related by $\mathbb{E}[X|X<z] = \frac{\mathbb{E}[\mathbb{I}_{X<z} X]}{\mathbb{P}(X<z)}$. I'll add that part to my answer
Mar
18
answered How to compute the conditional expected value of a geometric brownian motion?
Mar
17
answered Fama French 3 Factor Data
Mar
10
answered Local volatility SVI parametrization
Mar
6
answered How to test the 5 Factor CAPM of Fama & French (2014)?
Feb
28
awarded  Yearling