1,909 reputation
2830
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 3 years, 3 months
seen 24 mins ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

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
comment Calculating Modified Duration on Excel and Matlab - differences?
But surely cleaning up your code will help.
Aug
8
comment Calculating Modified Duration on Excel and Matlab - differences?
Well to be honest, your question isn't the best. I've applied code formatting so it reads a bit better. Can you break the lines so horizontal scrolling isn't necessary? Can you also give some inputs and outputs? It's pretty hard to guess what's wrong.
Aug
8
revised Calculating Modified Duration on Excel and Matlab - differences?
Fix code
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?