1,966 reputation
2832
bio website linkedin.com/in/bjansen
location Netherlands
age 29
visits member for 3 years, 7 months
seen 8 hours ago
  • Quantitative Analyst at Atradius
  • Interested in the combination of Finance and Computer Science

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.
Aug
6
reviewed No Action Needed How are HFT systems implemented on FPGA nowadays?
Aug
6
reviewed No Action Needed How are HFT systems implemented on FPGA nowadays?
Aug
5
revised Popular R packages for Quantitative Finance
Converted to CW, fix spelling.
Aug
4
comment Which size of constant range bar gives the most persistent chart?
Wouldn't that imply that the bar directions are strongly correlated for some range?
Aug
4
comment Popular R packages for Quantitative Finance
This should probably be closed for being overly broad and primarily opinion based. However, a list of popular packages (for R) and their uses can be a great asset for this as a Community Wiki. Would such a list also suit you @SMohan?
Aug
4
comment Handling IQFeed events in Matlab
Hi nooby, welcome to quant.SE! Thanks for asking your question here.
Aug
4
reviewed Reviewed Handling IQFeed events in Matlab
Aug
4
revised Handling IQFeed events in Matlab
Remove courtesy, minor spelling
Aug
4
reviewed No Action Needed Cross-sectional volatility vs temporal volatility