1,918 reputation
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bio website linkedin.com/in/bjansen
location Netherlands
age 28
visits member for 3 years, 4 months
seen 11 mins ago
  • Consultant @ Veneficus
  • Interested in the combination of Finance and Computer Science

19h
comment Create Two Correlated Random Series
And don't forget: $X_1$ and $X_2$ should have the same std. dev., transform them to the mean and std. dev. you want after creating the correlated vector.
19h
comment Create Two Correlated Random Series
The method works, I've used it myself. So there is either something wrong in your implementation or you're expecting that the correlation of the samples you create is close or equal to $\rho$ for small samples, it's not. This is not the case, the variance is pretty large. See for an example R-script: stats.stackexchange.com/a/38867/7469. Also look at the Cholesky method. The reason that this is closed is that we want to keep the quality high.
1d
comment Create Two Correlated Random Series
This question appears to be off-topic because it is about basic financial calculations which are off-topic as they are assumed to be common knowledge for those studying or working in the field of quantitative finance. Furthermore, from the question it's not clear what the actual problem is.
Sep
18
comment How to work out weights for a portfolio based on an inverse ratio with positive and negative values?
Hi arodrisa, welcome to Quant.SE! I don't see how this helps with the case that $\mathrm{EV} \leq 0$ or $\mathrm{EBIT} = 0$. Can you elaborate?
Sep
17
comment Does anyone have a C# implementation of the Barone Adesi Whaley options pricing model?
@JimBeam Please keep it nice. You don't have to agree but the point is valid. I've made a small edit to your comment.
Sep
15
comment How does Volatility Pairs Trading work?
Can you elaborate on how to determine which pairs have profit generating potential. Now the answer feels a bit unfulfilling.
Sep
15
comment Does anyone have a C# implementation of the Barone Adesi Whaley options pricing model?
For your worst case: it's available in QuantLib which you can use from C#.
Sep
4
comment How to draw a binomial option tree graph?
Aha, so you want to create nice graphics in something else than Tikz? I misunderstood, doubting this one is really on-topic but I'll let the community decide as it might be of interest. For now, have you looked at GraphViz?
Sep
4
comment How to draw a binomial option tree graph?
See above, here its off topic, they will probably close for lack of detail.
Sep
4
comment How to draw a binomial option tree graph?
Hi TJB, welcome to quant.SE! I would transfer this to tex.stackexchange.com but you have to show more work or they will just close it. So I will close it here and suggest you try again there.
Sep
3
comment Rate Distortion Minimization in a Python Clustering Algorithm
Would indeed be fun but this is a busy week for me. I'll let you hear something soonish
Sep
2
comment Option on a dice game
I think the point is to see the first throw as a kind of strike. If I'm right the question is: What is the value for the possibility to get a better roll after the first?
Sep
2
comment What continous adjustment methods are firms using for futures backtesting?
Thank you for your clarification. I've added the comment to your answer to give it more prominence.
Aug
31
comment Rate Distortion Minimization in a Python Clustering Algorithm
Thanks, I'll check. I see the PyPI page but pip errors and the links are not useful. Also, PyPI refers to 1.49 while 1.50 is available...
Aug
30
comment How much correlation between alpha and forward returns can be considered good
I've added that the bets should also be independent and remember that it's the ex post realization (Grinold and Kahn say actual outcome). This realization does include trading costs.
Aug
30
comment How much correlation between alpha and forward returns can be considered good
This is mostly from the top of my head with a bit of help of the CFA curriculum. The book itself is a tome, I probably have forgotten some stuff. If I remember again I will edit.
Aug
30
comment Rate Distortion Minimization in a Python Clustering Algorithm
@benjaminmgross I'm interested in this question. Can you put the data back on Dropbox?
Aug
30
comment Rate Distortion Minimization in a Python Clustering Algorithm
Pycluster seems to be gone from PyPI but a .tar.gz can be found here: filewatcher.com/m/Pycluster-1.50.tar.gz.271532-0.html
Aug
29
comment What is the Swap Curve?
Hi Bruno, welkome to quant.SE! Can you be a bit more explicit? For Someren unfamiliar with these concept iT can be hard to get the complete picture. If you combine the definitions with your understanding I believe you can give a great answer to this question.
Aug
29
comment What continous adjustment methods are firms using for futures backtesting?
Hi SpzToid, welcome to Quant.SE! Can you elaborate on this paper a bit, why do you think it's good?