1,602 reputation
2724
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 2 years, 11 months
seen 5 hours ago
  • Consultant @ Veneficus
  • Looking for new opportunities
  • Interested in the combination of Finance and Computer Science

Oct
21
asked Semi-strong efficiency and HFT
Oct
21
revised How do Order Management/Matching Systems match/allocate orders (and filled prices)?
Minor spelling and grammar
Oct
21
revised How do Order Management/Matching Systems match/allocate orders (and filled prices)?
Format example, remove thanks
Oct
20
comment Fama-French 3-factor model: factors implying risk
This question is part of this weeks topic challenge, see meta.quant.stackexchange.com/q/1369/35?cb=1 for more info.
Oct
20
asked Fama-French 3-factor model: factors implying risk
Oct
12
awarded  Popular Question
Oct
11
reviewed Approve suggested edit on Modelling interest rate: AR(2) modelling
Oct
7
revised Obtaining the default probability and recovery rate for each credit rating?
Clean up
Oct
3
revised interest rate in cost of carry
Remove thanks, change tags
Oct
3
revised interest rate in cost of carry
arbitrate -> arbitage
Sep
14
revised Fitting a GARCH BEKK model
Format code
Aug
28
reviewed Approve suggested edit on Control for bid/ask bounce in high-frequency trade data?
Aug
16
revised Black (1976) model: relationship between spot and forward prices
Spelling
Aug
14
revised relation between asset's and equity volatilities - merton model
Spelling
Aug
9
comment Average correlation of index/portfolio
I don't think it matters for the general argument but you don't have $w'\iota = 1$?
Aug
9
reviewed Reject suggested edit on FIGARCH estimation in R
Aug
9
revised Average correlation of index/portfolio
Fixed code formatting
Aug
9
comment Average correlation of index/portfolio
You have $w_2 = w_3 = 0.5$ and $w_3 = -0.5$, this does not seem right to me.
Aug
7
answered Why are indifference equations in mean-variance portfolio theory convex shaped
Aug
6
comment Why are regressors squared and not ^1.5 or ^2.2 or ^2.5?
Nice find, I will have to check that out.