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21h
comment The best way to generate market scenarios
@Quartz is right, I would like to propose this question in two parts: (1, 2) and 3. This will still be broad but I hope answerable.
1d
comment HFT to blame for Flash Crashes?
Thank you for this, this informative! +1 Can you source this somewhere?
1d
comment Parametric VaR with Student-t distribution
It's better, so I reopened it, it might be too basic but it's good to have it answered.
1d
comment Parametric VaR with Student-t distribution
Hi Josh.V, welcome to Quant.SE! It's not clear to me what the issue is. What is it you want to achieve, do you want to use the formula, are you wondering whether it is suitable or something else? Note that a question such as that might still be off-topic, please check the faq to see what's on-topic.
1d
comment HFT to blame for Flash Crashes?
@madilyn IMO whether the argument is correct needs research, I only have anecdotes. I'd like to see answer that answers this question backed by actual research because I think we can agree the effects I mention are not that too far fetched.
1d
comment HFT to blame for Flash Crashes?
@madilyn I said collectively. Sure, one can not exacerbate volatility by withdrawing orders yourself but market makers as a group could.
2d
comment Up and Down days in GBPUSD and a Filter
Hi tn240, welcome to Quant.SE! I find it hard to figure out what the exact experimental set-up is you have, other might too. Can you maybe provide some pseudocode of your algorithm so it is easier to understand what you're doing?
2d
comment HFT to blame for Flash Crashes?
Increased volatility and algorithm failure don't need to be independent, the volatility could be the cause of the failure. Also, market makers might not feel confident about their software and turn it off or widen their spreads.
2d
comment HFT to blame for Flash Crashes?
But what if they deviate from the design? For example by pulling out collectively or when an algorithm goes haywire?
2d
comment Specifying integration level of time series
I'm voting to close this question as off-topic because it's on stats and fits better there.
2d
comment Is variance additive only under Log-returns?
Thanks @volcompt.
Aug
21
comment How to compute the cumulative return between two dates?
Q/A on Money.SE.
Aug
20
comment Strange / Incorrect / Unusual Data on Google Finance 1988
Unfortunately both Google Finance And Yahoo Finance are full of errors. I would advise against using their historical data for investing.
Aug
20
comment Data frame mutation in R
I'm voting to close this question as off-topic because I couldn't find an exact duplicate for this one so I could migrate but similar questions have been asked on SO. I think the smart thing to do is to check there whether you can cobble something together and ask a question (on SO) once you get stuck with the information provided there.
Aug
20
comment How to compute the cumulative return between two dates?
Hi dragonfly, welcome to Quant.SE! May I suggest Money.SE for this question, it might fit there (if you properly define your Cumulative Return).
Aug
19
comment stochastic calculus and multidimentional itos lemma
Hi user161976, welcome to Quant.SE! Please add the self-study tag if it applies. Can you tell us what you've found already and where exactly your stuck?
Aug
18
comment Derive OIS rate from IRS rate and Fed Funds/Libor basis spread
Hi andr111, welcome to Quant.SE! Please add the self-study tag if it applies. Can you tell us what you've found already and where exactly your stuck. The question in its current form would require quite a big answer.
Aug
18
comment Citable source: Why implied volatility over dollar prices
I think Talebs Dynamic Hedging has something about it, it might be that it cites another article but I'm not sure.
Aug
14
comment How is the 50% chance that the Fed will increase borrowing costs on Sept. 16-17 calculated from bond futures?
It s indeed quite similar but I see that it's asked by the same person. Is there something I'm missing?
Aug
14
comment How can I compare two mutual funds' performance with a sparse set of data?
Off course you can perform these statistical tests, they will just lack power and will thus not be very useful. I don't it would help to use those ratios. There is quite some material here on max drawdown, if you have any further questions on them not already answered here or on Google you could ask a new question.