1,937 reputation
2831
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 3 years, 5 months
seen 18 mins ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

Jul
16
comment Math basics of Equally-weighted Risk contributions
It would be helpful if you share the information you found. Hopefully someone can recommend interesting related papers. NB: It's allowed to answer your own question.
Jul
16
comment forecasting crash time of KLSE index (1991-1994)
I'm not clear on what you're asking here. What's the relation between the title of your question and your code? Could you rephrase the first part of your question to explain exactly what it is your trying to achieve? Also, what is the time series in the ts variable?
Jul
15
reviewed Reviewed Sharpe Ratio - my own calculation differs from Yahoo finance, Morningstar
Jul
15
comment Sharpe Ratio - my own calculation differs from Yahoo finance, Morningstar
Hi Laplacian, welcome to quant.SE! Thank you for your question. Can you possibly show some real code instead of pseudo-code? It will help people trying to answer your question.
Jul
15
revised Sharpe Ratio - my own calculation differs from Yahoo finance, Morningstar
Remove courtesy
Jul
15
reviewed Approve suggested edit on sharpe-ratio tag wiki excerpt
Jul
15
reviewed Reject suggested edit on Are e-mini markets manipulated?
Jul
15
reviewed Approve suggested edit on sharpe-ratio tag wiki
Jul
14
revised Understanding the conditioning in a GARCH process
Combine answers
Jul
13
comment Why Ito calculus?
Hi amlrg! Welcome to quant.SE and thank you for your question.
Jul
13
comment Technical analysis in Python - source of knowledge
I believe your answer is quite alright. I'm sure that more can be said but IMHO this an helpful answer.
Jul
10
revised How popular is the Linear Gauss Markov (LGM) model?
Fix title, grammar
Jul
9
reviewed Reject suggested edit on returns tag wiki excerpt
Jul
9
reviewed No Action Needed Why use the E-curve as an interest rate benchmark?
Jul
8
reviewed No Action Needed How do I calculate Sharpe ratio from P&L?
Jul
8
reviewed No Action Needed Is there any relationship between investment return of a stock, for individual year (Yearly return) and multiple years (Overall annualized return)
Jul
8
reviewed Reviewed Obtaining Expense Ratio Data
Jul
8
reviewed No Action Needed What are the implication of a negative risk-free rate on SML?
Jul
8
revised robust regions in grid search
Fix code display
Jul
8
comment Isn't a perfect economic system always in debt?
No, I don't believe it fits there. It would have been a good fit on the now defunct economics.SE. I'm afraid you have to look outside the StackExchange Network for this one.