1,879 reputation
2829
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 3 years, 3 months
seen 43 mins ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

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.
Jul
16
comment forecasting crash time of KLSE index (1991-1994)
I'm not clear on what you're asking here. What's the relation between the title of your question and your code? Could you rephrase the first part of your question to explain exactly what it is your trying to achieve? Also, what is the time series in the ts variable?
Jul
15
reviewed Reviewed Sharpe Ratio - my own calculation differs from Yahoo finance, Morningstar
Jul
15
comment Sharpe Ratio - my own calculation differs from Yahoo finance, Morningstar
Hi Laplacian, welcome to quant.SE! Thank you for your question. Can you possibly show some real code instead of pseudo-code? It will help people trying to answer your question.
Jul
15
revised Sharpe Ratio - my own calculation differs from Yahoo finance, Morningstar
Remove courtesy
Jul
15
reviewed Approve suggested edit on sharpe-ratio tag wiki excerpt
Jul
15
reviewed Reject suggested edit on Are e-mini markets manipulated?
Jul
15
reviewed Approve suggested edit on sharpe-ratio tag wiki
Jul
14
revised Understanding the conditioning in a GARCH process
Combine answers
Jul
13
comment Why Ito calculus?
Hi amlrg! Welcome to quant.SE and thank you for your question.
Jul
13
comment Technical analysis in Python - source of knowledge
I believe your answer is quite alright. I'm sure that more can be said but IMHO this an helpful answer.
Jul
10
revised How popular is the Linear Gauss Markov (LGM) model?
Fix title, grammar
Jul
9
reviewed Reject suggested edit on returns tag wiki excerpt
Jul
9
reviewed No Action Needed Why use the E-curve as an interest rate benchmark?
Jul
8
reviewed No Action Needed How do I calculate Sharpe ratio from P&L?