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Jan
20
awarded  Taxonomist
Sep
24
awarded  Autobiographer
Jul
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awarded  Curious
Sep
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awarded  Nice Question
Jun
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awarded  Yearling
Apr
11
comment Python library for Portfolio Optimization
@Roy read this here and this here -- simple cases, then use some ready distribution to kill this part "mySet= [x/density for x in range(int(density))] points="" for (x,y,z) in [(x,y,z) for x,y,z in itertools.product(mySet, repeat=3) if abs(x+y+z-1)<delta]:" (delta fixes the floating point err), normal distribution -approximation for the combinations resulted in pretty good results, clear now?
Mar
26
comment How random are financial data series?
Good question, may I ask what do you mean by random? Knuth in some of his book (probably Seminumerical Algorithms) mentioned something like this A person is insane if he thinks that computers can really generate something really "random". Now depending on your definition of random, you can make things as random or less random you like. Now it is extremely hard to devolop this kind of benchmarks, ad hoc per se.
Mar
14
comment Quantitative Analysis Games on Investing?
...the inspiration to this game comes from Strategem and some book Limits-to-growth (according to my instructor), only a triviality to know but they may contain something to look at.
Mar
5
comment Quantitative Analysis Games on Investing?
@AdAbsurdum: the game was played in a way that you supplied a bunch of numbers in text-file to the game (no language barrier). The only useful information is the English site.
Feb
27
revised Proof that you cannot beat a random walk
...made it more visually pleasing, please, peer-review... it is still hard-reading -- haven't verified it
Feb
27
suggested approved edit on Proof that you cannot beat a random walk
Feb
25
revised Tools in R for estimating time-varying copulas?
...fixed the broken url
Feb
25
suggested approved edit on Tools in R for estimating time-varying copulas?
Feb
23
awarded  Scholar
Feb
23
accepted Is duration additive? $C_{newDur}=A_{fundDur}w_{a} + B_{fundDur}w_{b}$?
Feb
23
asked Quantitative Analysis Games on Investing?
Dec
8
comment Proof that you cannot beat a random walk
there is at least one hole in this answer, how do you know that financial valuations are really dependent on the past, not on the last stage (Markov assumption) or perhaps something else? I agree that you can beat RW with arbitrary assumptions but are you sure about your premise here about the historical dependency?
Dec
8
comment Benefits of Diversification and Rebalancing with negatively skewed leptokurtic return distribution?
...btw from simple time-serie standpoint, autocorrelation and partial autocorrelation decay pretty fast (after sufficient diversification etc) -- how to account this kind of thing? As far as I have understood, the financial time-series are not really naive realization of certain theoretical models such as SARIMA, rather dynamic (even a bit artistic) and my feeling is that to really "solve" this kind of problems would require quite amount of research, well there must be some papers on this -- investigating.
Dec
8
comment Diversification, Rebalancing and Different Means
@楊祝昇: because questions are still unsolved.
Dec
4
awarded  Nice Question