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visits member for 3 years, 6 months
seen Oct 23 at 21:09

Probability, finance and due diligence - @EllieAsksWhy


Feb
6
reviewed Excellent price of a “Cash-or-nothing binary call option”
Feb
6
awarded  Custodian
Feb
6
reviewed Excellent Limits analysis
Feb
6
reviewed Needs Improvement Basket option pricing: step by step tutorial for beginners
Feb
6
reviewed Satisfactory Understanding Passive Rebate Arbitrage
Feb
6
reviewed Excellent Most natural generalization of covariance/correlation to model dependence of extreme events
Feb
6
reviewed Needs Improvement Why might a manager consider using an interest-rate in which the notional principal amount declines over time?
Jan
6
comment Inflation swap liquidity versus inflation-linked bonds
This is an interesting answer! I can tell you have direct experience with these markets. I spend an unfortunate amount of time with (so-called) Austrian types. They never mention Japan, I realize, which should be a sort of heavenly ideal, as there is never any inflation. As you point out, there is this unfortunate OTC behavior, probably motivated by investors' search for returns, and the snake oil salesman who prey on it. That is a good explanation for what appears to be an anomalous market, where off-market securities become more liquid than government bonds. Have I understood correctly?
Dec
4
comment What advanced statistical techniques are quant researchers using?
It is possible that for some other, exogenous reason, that hedge fund did not need additional staff with PhD level statistical expertise. Yet they would have no reason to reveal that, especially if you do not have whatever it was that they did need e.g. OCaml skill, or antenna physics for microwave transmission of data for super-fast HFT or how to configure daisy-chained Cray's, or subject matter expertise in a non-quantitative field due to say, a tax or export/ import arbitrage opportunity.
Dec
4
comment What advanced statistical techniques are quant researchers using?
I find this very unlikely too. When I first read your question, I thought that "They claimed that they found that the statistical techniques they were using were too advanced" meant that the hedge funds considered the methods used by PhD's in math/stats/physics to be excessively advanced for what was actually needed for work at hedge funds! We could try asking gappy, as he would know.
Nov
12
revised How to annualize skewness and kurtosis based on daily returns
edited tags
Nov
12
revised Skewness and Kurtosis under aggregation
edited tags
Oct
6
revised Can money technically flow in and out of stocks or asset classes?
I fixed the grammar, but the question is still nebulous, particularly the reference to IPO's.
Oct
6
revised data on historical stock price of bankrupt companies
Formatted URL, cleaned up a little
Oct
6
suggested suggested edit on data on historical stock price of bankrupt companies
Oct
6
comment data on historical stock price of bankrupt companies
@JoshuaChance is correct. In fact, the Engineering Returns website guy even says that he purchases his data from Norgate Investors Services premiumdata.net
Oct
6
suggested suggested edit on Can money technically flow in and out of stocks or asset classes?
Apr
27
awarded  Announcer
Apr
27
comment Is there an open source alternative to Reuters Kondor+?
VERY nice list you found! Thank you, it is comprehensive. (I know you! I am Demeter when I'm not here as Feral Oink.)
Apr
24
awarded  Yearling