1,879 reputation
2829
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 3 years, 3 months
seen 33 mins ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

Jul
20
comment Does Modern Portfolio Theory align with EMH?
Hi Karol Przybylak, welcome to quant.SE! Thank you for asking your question here.
Jul
20
answered Does Modern Portfolio Theory align with EMH?
Jul
19
comment How does the Bitcoin forex work?
Hi Mark Thompson, welcome to Quant.SE! I'll have to close this question for three reasons. First of all, ask one question at a time. Second, I believe this fits better on the Bitcoin Stack. Third, I believe this is too basic for both stacks. On the Bitcoin exchanges, the protocol plays no role and price is determined by supply and demand.
Jul
19
comment SVCJ (SVJJ) Duffie et. al Model implementation in Matlab
I've looked at the code and the paper and it's hard for me to map the code to the formulas. Also, it's not clear to me how you derived the constants. Can you clarify the question?
Jul
19
comment Calculate bond yield in python
Hi Wade Bratz, welcome to Quant.SE! Thank you for asking your question here.
Jul
19
revised Calculate bond yield in python
Remove courtesy
Jul
19
answered Calculate bond yield in python
Jul
17
comment Arbitrage free implies complete market?
Still not quite sure I follow, can you explain Prop 2.3?
Jul
17
comment Arbitrage free implies complete market?
Hmm, I don't see how this answers your question in toto: "Which part of finding the replicating portfolio makes use of the assumption?". Can you elaborate?
Jul
17
comment How is PnL calculated
Note that I agree 99% with @SRKX, but IMO with the specifics added this is an almost new question on the same topic.
Jul
17
comment How is PnL calculated
I think it's a bit better now, some specfics on "please help me with some more insights" would improve it tremendously.
Jul
17
reviewed Edit and Reopen How is PnL calculated
Jul
17
revised How is PnL calculated
Clean up
Jul
17
reviewed No Action Needed list of ADR's by volume or market cap
Jul
17
reviewed Looks OK Handling Missing values in stocks returns when estimating the co variance matrix
Jul
17
reviewed No Action Needed What Is A Good Success Rate Using Machine Learning For A Beginner?
Jul
17
comment forecasting crash time of KLSE index (1991-1994)
The less general the title, the better. I believe your equation has some errors. Can you take a careful look at it? For instance, I believe that $B$ should depend on the parameter $m$ and can't be seen as a independent input to the optimization.
Jul
17
revised forecasting crash time of KLSE index (1991-1994)
Fix up text
Jul
17
reviewed No Action Needed What's the difference between volatility and variance?
Jul
16
comment Math basics of Equally-weighted Risk contributions
It would be helpful if you share the information you found. Hopefully someone can recommend interesting related papers. NB: It's allowed to answer your own question.