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visits member for 2 years, 11 months
seen Apr 10 at 15:27

Sep
30
awarded  Editor
Sep
30
revised Brownian motion - first passage time
added 159 characters in body
Sep
30
answered Brownian motion - first passage time
Oct
15
comment Trading a synthetic replication of the VIX index
@Strange So any thoughts on alternative approaches?
Aug
30
awarded  Student
Aug
29
asked Backtesting VaR model violation independence
Aug
2
answered What is the relative performance of hard-to-borrow securities?
Oct
6
awarded  Supporter
Oct
3
comment Why do some anomalies persist while others fade away?
For the Magic Formula "anomaly", there is some debate about whether it is as string as Greenblatt claims. User vonjd mentioned one example of that and here is another: blog.empiricalfinancellc.com/2011/05/…. If you accept Greenblatt's research, there is definitely a very powerful anomaly and his argument for why it would persist relies on how the returns from the anomaly are distributed through time.
Sep
30
awarded  Teacher
Sep
30
answered Why do some anomalies persist while others fade away?