1,602 reputation
2724
bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 2 years, 11 months
seen 19 hours ago
  • Consultant @ Veneficus
  • Looking for new opportunities
  • Interested in the combination of Finance and Computer Science

Apr
8
comment How do you calibrate a poisson arrival rate process?
Maybe I'm thinking to simple but: why not use a standard MLE?
Mar
26
comment Effects of random-generator-choice on derivative's price
AES = Advanced Encryption Standard, it is used in cryptography and build to be very hard to predict. It uses entropy generated by different events at the OS level. This a smart way to achieve unpredictability but is very slow if you lead a lot of randomness. For an introduction to QMC methods you could look at Judd.
Mar
26
comment Effects of random-generator-choice on derivative's price
I don't have an answer but: have you looked at quasi Monte Carlo? I think comparisons can be hard to make because of the influence of the seed on the generated sequence.
Mar
8
comment Fitting Egarch Model
Can't you just use the standard MATLAB package?
Mar
5
comment An alternative to the Gaussian distribution to describe/fit market stock returns
You could try a Levy skew alpha-stable distribution with α = 1.8 and β = 0.931. Snark aside, it depends on your use-case , asset, etc.
Mar
3
comment Fitting a sigmoid function to incomplete, structured, data
Have you seen this: kyrcha.info/tutorials/fitting-a-sigmoid-function-in-r ?
Feb
27
comment What is the necessary level of Econometrics-Know-How for a quant
I think a mis-edit happened somewhere. Please check mine.
Feb
23
comment How to Calculate a Monte Calo VaR estimation error
I'd like some pseudocode of your MC-loop, e.g. step 1 do fun N times, step 2 calculate mean VaR.
Feb
23
comment How to Calculate a Monte Calo VaR estimation error
Maybe this is very straightforward, can you give a step by step description of your process?
Feb
22
comment where can i get data for foreign exchange order flow
possible duplicate of What data sources are available online?
Feb
15
comment What is the most amount of money the consumer would be willing to pay to play take this gamble?
The question states: "What is the most amount of money the consumer would be willing to pay to play take this gamble?". What you need to find is the number the person willing to give.
Feb
13
comment Is it wrong to use 'real world' probabilities for option valuation?
Should be fixed
Feb
12
comment Is the number of outstanding shares a stationary series?
Don't do that it will lead to multicollinearity which is bad. I think a better, new question would be: "How can I use the number of shares outstanding in my panel regression?"
Feb
1
comment Estimate reasonable trade sizing based on daily volume
Wouldn't it be easier to have that $\textrm{price} \times \textrm{amount} < C$ must hold from some $C$?
Jan
23
comment Free database for storing intraday tick data and querying bar (candle) data on budget hardware
How many rows do you have? This seems slow even on that hardware, unless your core is oversubscribed, then anything is possible.
Jan
18
comment Pricing options under restricted domain
Why didn't it work?
Jan
18
comment Derivation of the Nelson-Siegel model and proof of arbitrage
Regarding your second question: Did you also look at the Filipovic paper?
Dec
19
comment How is holding an European call option equivalent to holding an asset-or-nothing call option and writing a cash-or-nothing call option?
Did you plot the payoff diagrams?
Dec
19
comment How is holding an European call option equivalent to holding an asset-or-nothing call option and writing a cash-or-nothing call option?
Is this homework?
Dec
11
comment Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians
Don't you need to specify what optimal means?