meta user
network profile
| bio | website | |
|---|---|---|
| location | ||
| age | 36 | |
| visits | member for | 2 years |
| seen | May 14 at 0:12 | |
| stats | profile views | 69 |
Computer programmer with 15 years of low level to high level programming experience.
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Oct 3 |
asked | How do I calculate expectancy from a past series of trades in my trading account? |
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Oct 3 |
accepted | Recommendations for books to understand the math in quantitative finance papers? |
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Sep 25 |
asked | Recommendations for books to understand the math in quantitative finance papers? |
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Sep 22 |
asked | If VIX is the Implied Volatility of SPX, 30 days in the future, how many days into the future does VIX vol look? |
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Sep 18 |
comment |
How are correlation and cointegration related? Interesting point to make. If we are comparing two time series, correlation tell us something about the complete time series as a whole, whereas cointegration tells us something about the individual matching points. |
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Aug 21 |
comment |
Is it possible to estimate the correlation between an equity and its IV, purely from its IV skew? Very interesting. We have developed a model that can accurately predict IV in all of the market regimes we have tested it in, back to 2002. Would you be interested in collaborating to produce a method of using this same equation to predict the underlying? Preliminary results show that this is definitely possible with SPX/VIX. |
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Aug 21 |
accepted | Is it possible to estimate the correlation between an equity and its IV, purely from its IV skew? |
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Jul 9 |
comment |
How do I estimate the joint probability of stock B moving, if stock A moves? Interesting. Calculating integrals is not that difficult, thanks or the tip. |
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Jul 9 |
accepted | How do I estimate the joint probability of stock B moving, if stock A moves? |
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Jun 10 |
accepted | How to calculate the local volatility surface using QuantLib? |
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Jun 8 |
comment |
How to calculate the local volatility surface using QuantLib? Oooooh, so that's what I'm missing. Thanks! I'll work with the C++ version directly, once that's working I'll let you know. |
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Jun 6 |
awarded | Self-Learner |
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Jun 6 |
revised |
What API methods are there to determine a company's market cap? added 4 characters in body |
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Jun 6 |
comment |
What is the implied volatility skew? I'm curious - is it possible to estimate the correlation between the equity and its IV, if all you know is the IV skew? |
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Jun 6 |
asked | Is it possible to estimate the correlation between an equity and its IV, purely from its IV skew? |
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Jun 6 |
revised |
What API methods are there to determine a company's market cap? added 74 characters in body |
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Jun 6 |
revised |
If stock A has a 60% chance of rising, and stocks A and B have 80% correlation, what is the chance of stock B rising? added 222 characters in body |
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Jun 6 |
answered | What API methods are there to determine a company's market cap? |
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Jun 5 |
comment |
How can I go about applying machine learning algorithms to stock markets? There is a saying "Picking pennies up in front of steam rollers". You're doing the equivalent of selling an out-of-the-money put. In this case, you'll make tiny profits for years, then get totally cleaned out when the market melts down every 10 years or so. There is also an equivalent strategy that buys out-of-the-money puts: they lose money for years, then make a killing when the market melts down. See Talab's The Black Swan. |
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Jun 5 |
revised |
How do I estimate the joint probability of stock B moving, if stock A moves? edited title |
