1,938 reputation
2831
bio website linkedin.com/in/bjansen
location Netherlands
age 29
visits member for 3 years, 5 months
seen 2 hours ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

Oct
12
reviewed No Action Needed What are the textbooks used to teach Quantitative Trading at universities?
Oct
12
reviewed No Action Needed Calculate bond returns from yields
Oct
11
reviewed No Action Needed Validity of CAPM
Oct
9
comment option pricing with limitation on the change of underlying daily changes
That would of course work but I don't think it models the price dynamics well. In a limit market I would expect two things not present in markets without this limit: autocorrelation as large moves take longer to complete and more probability mass at the bounds for the same reason.
Oct
8
comment option pricing with limitation on the change of underlying daily changes
I'm not aware of closed form solutions but have you looked binomial trees?
Oct
8
comment seasonality and generalized additive model
The application seems to be in finance and how the method is applied in finance and whether this is even correct. So this is quite domain specic and therefore I think it's better to keep it here.
Oct
8
reviewed Leave Open seasonality and generalized additive model
Oct
8
reviewed No Action Needed Trading spot volatility
Oct
8
reviewed Reviewed Why are interest rates and stock prices positively correlated?
Oct
8
reviewed Reviewed How to reduce fx currency pairs ? PCA or other tools?
Oct
8
revised How to reduce fx currency pairs ? PCA or other tools?
Clean up
Oct
8
reviewed No Action Needed How to calculate unlevered beta
Oct
7
comment What are the roles of “Game theory” and “optimisation (linear, integer, conic)” in Finance, Mathematical Finance?
Presumably you want to know this because you want to start a career in Quantitative Finance? The guidance in the tour applies, as it is a version of "How do I become a quant?" There are some good reasons that we don't want this kind of question, see this question on meta: meta.quant.stackexchange.com/questions/13/…
Oct
5
comment Is node.js being used in systematic trading software?
Hi hacklikecrack, welcome to Quant.SE! Could you please disclose any affiliations?
Oct
3
reviewed Reviewed Calibrating an Ornstein Uhlenbeck process on residuals of regression
Oct
2
revised Portfolio Turnover Constraint
Clean up
Oct
2
comment Time Lag for Market Inefficiency
Hi user7954, welcome to Quant.SE! I removed the apology, the question seems to be on-topic to me and at least two community members ;)
Oct
2
revised Time Lag for Market Inefficiency
Fits well enough, remove courtesy
Oct
1
comment negative transition probabilities in the heston model
BTW: thanks for sharing the paper. I'm still reading it. The authors spend quite some time on these negative probabilities and apparently a number of things can go wrong. I do wonder though: in the first step shouldn't v0 be the volatility now and vt the vol at the next step.
Oct
1
comment How can I estimate expected maximum drawdown with historical data?
Hi Corne Luis, welcome to Quant.SE! I did some Googling and found some promising resources for starting this research. Did you try those?