1,602 reputation
2724
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 2 years, 11 months
seen 4 hours ago
  • Consultant @ Veneficus
  • Looking for new opportunities
  • Interested in the combination of Finance and Computer Science

Nov
5
revised Trouble arriving at Black-Scholes Formula
Add LaTeX
Nov
4
accepted Semi-strong efficiency and HFT
Nov
4
comment Semi-strong efficiency and HFT
As a passive investor in broad market indexes I have made a hefty return this year. So maybe it only seems that they provide value to their uninformed customers ;) However, that customerless HFT firms earn their profit using short term inefficiencies seems plausible and thus that my suspicion that after a news event profits are made is correct. This is confirmed by this answer.
Nov
2
comment Semi-strong efficiency and HFT
If I understand correctly you're saying from a practitioners point of view semi-strong EMH is not true: price discovery is not instantaneous but takes a reasonable amount of time wherein news can be interpreted and profitable positions can be taken. Correct?
Nov
2
comment Intuitive explanation of the Hansen-Jagannathan bound
This question is part of this weeks topic challenge, see meta.quant.stackexchange.com/q/1369/35?cb=1 for more info.
Nov
2
asked Intuitive explanation of the Hansen-Jagannathan bound
Nov
1
revised tail correlation during crisis
Add tag
Nov
1
answered tail correlation during crisis
Oct
31
comment compute sharpe ratio for options?
Agree with @MatWolf. I now think this question does not fit in our format and acted accordingly.
Oct
31
comment compute sharpe ratio for options?
You can calculate the value of your portfolio on a daily (or hourly) basis. These values you can use to obtain returns.
Oct
31
comment Machine Learning vs Regression and/or Why still use the latter?
Anyone who attempts to generate random numbers by deterministic means is, of course, living in a state of sin. -- John von Neumann Your answer does not explain to me why you could not take a fixed seed when using these methods.
Oct
31
answered compute sharpe ratio for options?
Oct
27
answered Effective anti-gaming controls in dark pools
Oct
25
comment Risk Neutral Probability
I tried to answer but maybe you're missing something from my answer. Please clarify if that is the case.
Oct
25
answered Risk Neutral Probability
Oct
25
revised Market making: buy on bid/sell on ask
Remove double words
Oct
25
comment How could HFT help increase liquidity?
Before you can understand the answer to your question you have to understand market liquidity. So with what part of the definition are you struggling?
Oct
23
comment Semi-strong efficiency and HFT
I agree there is some confusion about news and information. Often a paper talks about news but conditions on $\mathcal{I}_t$ instead. However, I'd like to argue that the markets reaction on the news shouldn't affect the fundamental price. I'll have to think more deeply about this.
Oct
23
comment Fama-French 3-factor model: factors implying risk
Thanks, that is a lot to digest. It would be nice to have some papers that argue the other side. I've some ideas where to look but no time at the moment. More later.
Oct
23
comment Fama-French 3-factor model: factors implying risk
That would be quite easy to show statistically and I guess that result would be well known in that case.