Feral Oink

241 reputation

111

bio	website	myindigolives.wordpress.com
	location	Arizona
	age
visits	member for	2 years, 1 month
	seen	yesterday
stats	profile views	32

Descriptive statistics, data quality, probability models for all things risk.
Need to find work ASAP!

Twitter @EllieAsksWhy

	241 reputation	bio	website	myindigolives.wordpress.com	visits	member for	2 years, 1 month
111 badges		location	Arizona		seen	yesterday

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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
Mar 20	comment	What are the effects of turning a backed currency into a fiat currency? This was rather confusing to me "the government was still manipulating the money supply even in 1819, and therefore the gold-backed money was still not a free market money" The U.S. government hadn't existed for many years at that time. Had there ever been a time when the U.S. government didn't manipulate the money supply? This manipulation pre-dated the founding of the Federal Reserve by a century, AND the U.S. was on the gold standard, yet you say the dollar even then was not a "free market money"?
Mar 7	comment	Tools in R for estimating time-varying copulas? I have to do dishes and cook supper first though. But if it would be helpful, just let me know here, okay?
Mar 7	comment	Tools in R for estimating time-varying copulas? I kind of suspected as much! Would it be useful to you if I listed some R libraries that have been used for the purpose of estimating time varying joint distributions for/ via copulas that I haven't used personally? I have a few in mind, from citations in papers.
Mar 7	comment	Tools in R for estimating time-varying copulas? This was similar stats.stackexchange.com/questions/19431/… but probably not that helpful, as I think Quant Guy actually answered that question!
Feb 5	comment	Why are GARCH models used to forecast volatility if residuals are often correlated? GARCH models worked quite nicely for me. Just an ad hoc comment. They weren't terribly complicated or difficult to work with, and as I recall, weren't supposed to be afflicted with auto-correlated residuals! +1 to you...
Jan 27	revised	Value-at-Risk of the sum of two dependent lognormal random variables Improved formatting of link, corrected spelling error, tried to edit for clarity.
Jan 27	suggested	suggested edit on Value-at-Risk of the sum of two dependent lognormal random variables
Jan 22	comment	How to use macroeconomic indicators for long/short trading strategies? Wow, you're right. That was an amazing answer from @Quant Guy!
Jan 8	revised	Can you fully hedge an option in the presence of counterparty risk? Removed personal information, corrected grammar error, tried to improve clarity
Jan 8	comment	Can you fully hedge an option in the presence of counterparty risk? @klon Yes, that is what we did at NSCC! I referred to it as a short-term collateral tithe, which sounds odd. It is just as you described, daily collateralization, based on the historical volatility over the time until settlement, T+3 for equities, T+1 for gov't securities etc. The ISDA Master Agreement is an excellent suggestion and is used for (many but not all) OTC derivatives.
Jan 8	awarded	Commentator
Jan 8	comment	Can you fully hedge an option in the presence of counterparty risk? I answered the question that you asked. Then four hours later you edited the question, adding some very specific details. If I can, I'll respond to the edits, but will do so as a separate answer. I'm not complaining, okay? It is allowed to give two answers to the same question on StackExchange sites.
Jan 7	comment	Mersenne twister random number generator in Java for Monte Carlo Sim. @quant_dev I smiled when I read: This is not cryptography. You're right!
Jan 7	revised	Can you fully hedge an option in the presence of counterparty risk? edited tags
Jan 7	answered	Can you fully hedge an option in the presence of counterparty risk?
Dec 15	comment	Are there any new Option pricing models? That URL has a pay wall unfortunately. That's my problem, I think, not yours, and I appreciate your answer. You gave additional content so I have a starting point. Might you have any other links that are more accessible?