1,937 reputation
2831
bio website linkedin.com/in/bjansen
location Netherlands
age 29
visits member for 3 years, 5 months
seen 12 mins ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

Aug
31
reviewed Satisfactory How to find optimal look back in quant trading models
Aug
31
reviewed Satisfactory 2 stocks, no shorting vs shorting. (concrete questions, mean-variance)
Aug
31
reviewed Satisfactory CVA number used by Finance Team
Aug
31
reviewed Needs Improvement Sharpe Ratio - my own calculation differs from Yahoo finance, Morningstar
Aug
31
reviewed Excellent Heat/Diffusion Equation
Aug
30
comment How much correlation between alpha and forward returns can be considered good
I've added that the bets should also be independent and remember that it's the ex post realization (Grinold and Kahn say actual outcome). This realization does include trading costs.
Aug
30
revised How much correlation between alpha and forward returns can be considered good
Add independent to bets, small changes
Aug
30
comment How much correlation between alpha and forward returns can be considered good
This is mostly from the top of my head with a bit of help of the CFA curriculum. The book itself is a tome, I probably have forgotten some stuff. If I remember again I will edit.
Aug
30
answered How much correlation between alpha and forward returns can be considered good
Aug
30
revised Rate Distortion Minimization in a Python Clustering Algorithm
Unblock quote code, break lines.
Aug
30
comment Rate Distortion Minimization in a Python Clustering Algorithm
@benjaminmgross I'm interested in this question. Can you put the data back on Dropbox?
Aug
30
comment Rate Distortion Minimization in a Python Clustering Algorithm
Pycluster seems to be gone from PyPI but a .tar.gz can be found here: filewatcher.com/m/Pycluster-1.50.tar.gz.271532-0.html
Aug
29
comment What is the Swap Curve?
Hi Bruno, welkome to quant.SE! Can you be a bit more explicit? For Someren unfamiliar with these concept iT can be hard to get the complete picture. If you combine the definitions with your understanding I believe you can give a great answer to this question.
Aug
29
reviewed No Action Needed Black-Scholes fastest computation method
Aug
29
reviewed Reviewed Earnings Quality for a large group of stocks
Aug
29
comment What continous adjustment methods are firms using for futures backtesting?
Hi SpzToid, welcome to Quant.SE! Can you elaborate on this paper a bit, why do you think it's good?
Aug
29
reviewed Reviewed What continous adjustment methods are firms using for futures backtesting?
Aug
29
reviewed Reviewed VIX intraday data
Aug
29
reviewed No Action Needed Conversion factor for bonds
Aug
28
revised cva wiki excerpt
Could be unilateral