1,968 reputation
2832
bio website linkedin.com/in/bjansen
location Netherlands
age 29
visits member for 3 years, 6 months
seen 52 mins ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

Aug
14
reviewed Approve suggested edit on How to de-seasonalize natural gas term structure data?
Aug
14
reviewed Reject suggested edit on Are e-mini markets manipulated?
Aug
13
comment How would you price this kind of derivative?
Hi Tom, welcome to quant.SE! Thank you for asking your question here.
Aug
13
reviewed No Action Needed How to fully replicate ADX + DI Indicators in Excel?
Aug
13
reviewed No Action Needed Integrating R with Bloomberg
Aug
12
reviewed Reviewed Autoregressive distributed lag models ADL(p,q) howto in preferably matlab (stata/R/python/C# etc)
Aug
12
comment Autoregressive distributed lag models ADL(p,q) howto in preferably matlab (stata/R/python/C# etc)
Hi BigChief, welcome to quant.SE! Thank you for asking your question here.
Aug
12
reviewed Leave Open Popular R packages for Quantitative Finance
Aug
11
comment Estimate rolling stochastic volatility forecast using stochvol in R
Hi BeneSP, welcome to quant.SE! Thank you for asking your question here!
Aug
10
comment Why would a 9% dividend payment halve the stock price?
@emcor I agree that it could be an interesting empirical question if the question is not just "why do dividends decrease stock price" and I'm happy to reopen. In that case, we need more info because if you want take the empirical approach it is almost unanswerable in the current form.
Aug
10
comment Why would a 9% dividend payment halve the stock price?
9% of what? Can you give us the name of the stock? Without more information the drop in market cap should be equal to the amount of dividends.
Aug
10
comment Why would a 9% dividend payment halve the stock price?
Indeed, if the stock value wouldn't decrease value would be created out of nowhere.
Aug
10
comment Historical volatility from close prices (Haug pg 166)
Hi mike, welcome to quant.SE! This is the standard method to calculate the variance. However, that's not Haug's method. Are you saying that method doesn't work at all, or something else?
Aug
10
reviewed No Action Needed Historical volatility from close prices (Haug pg 166)
Aug
8
reviewed No Action Needed Simulate non-stationary time series with cointegration
Aug
8
reviewed No Action Needed Is there any thing out there as a substitute for KDB?
Aug
7
reviewed Reviewed Difference between a warrant and an option?
Aug
7
comment Are power contracts traded on any stock market?
Qbik is thinking about options as described here. The power refers to a power function, not electricity.
Aug
6
comment Book recommendation for time series analysis
Hi user3126171, welcome to quant.SE! Please read the faq on what is appropriate and how to ask questions. I've edited your question to improve it but it's of borderline quality. I will let the community decide what to do with it.
Aug
6
revised Book recommendation for time series analysis
Cleaned up, made CW.