1,785 reputation
2829
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 3 years, 2 months
seen 12 mins ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

Mar
6
reviewed Excellent Is there a difference between crossing network and ECN
Mar
6
reviewed Satisfactory Lagged dependent variable, yes or no?
Mar
6
reviewed Excellent What nonparametric methods exist for estimating intraday seasonalities?
Mar
6
reviewed Satisfactory Derivation of the Nelson-Siegel model and proof of arbitrage
Mar
6
reviewed Satisfactory probablity expiring in the money ..basic question
Mar
6
reviewed Satisfactory Multifractal Model, Generating Sample Paths with Correlations between Assets
Mar
6
reviewed Excellent Book on market microstructure
Mar
6
reviewed Satisfactory Portfolio Optimization : Shrinkage of Covariance Matrix when data is available
Mar
5
comment An alternative to the Gaussian distribution to describe/fit market stock returns
You could try a Levy skew alpha-stable distribution with α = 1.8 and β = 0.931. Snark aside, it depends on your use-case , asset, etc.
Mar
3
revised Fitting a sigmoid function to incomplete, structured, data
Remove courtesy
Mar
3
comment Fitting a sigmoid function to incomplete, structured, data
Have you seen this: kyrcha.info/tutorials/fitting-a-sigmoid-function-in-r ?
Feb
27
comment What is the necessary level of Econometrics-Know-How for a quant
I think a mis-edit happened somewhere. Please check mine.
Feb
27
revised What is the necessary level of Econometrics-Know-How for a quant
Add paragraph back
Feb
27
accepted Fama-French 3-factor model: factors implying risk
Feb
24
revised Pricing options with two assets
Add tag
Feb
23
comment How to Calculate a Monte Calo VaR estimation error
I'd like some pseudocode of your MC-loop, e.g. step 1 do fun N times, step 2 calculate mean VaR.
Feb
23
revised How to Calculate a Monte Calo VaR estimation error
Clean up
Feb
23
comment How to Calculate a Monte Calo VaR estimation error
Maybe this is very straightforward, can you give a step by step description of your process?
Feb
22
comment where can i get data for foreign exchange order flow
possible duplicate of What data sources are available online?
Feb
22
reviewed Approve suggested edit on where can i get data for foreign exchange order flow