Profile Activity

A.L. Verminburger

Reputation

334

2016
2017
2018
2019

Top tag

fixed-income

Next privilege

350 Rep.

Access review queues

Badges

Newest

Next badge

0/1

Impact

0 posts edited

0 helpful flags

5 votes cast

Summary Answers Questions Tags Badges Favorites Bounties Reputation All actions

23 Questions

Views Newest Activity Votes

votes

answers

views

Why is Markowitz portfolio optimisation so popular considering it is worse than an equal weighted portfolio?

Jul 4 at 8:28 A.L. Verminburger 334

votes

answers

404

views

Why is the equity premium not arbitraged away?

equities fixed-income

Jul 30 '14 at 14:23 Tom Au 404

votes

answers

186

views

Trading signal strength: [-1 to 1] or [predicted return]?

backtesting regression strategy digital-signal-processing

Jun 5 '16 at 9:19 A.L. Verminburger 334

votes

answers

views

How is the integral relationship between current yield curve and forward yield curve derived?

fixed-income yield-curve forward-rate

Jun 5 '18 at 13:57 Daneel Olivaw 3,358

votes

answer

232

views

Should a backtester have ability to run multiple strategies simultaneously?

quant-trading-strategies backtesting portfolio

Aug 16 '16 at 9:08 A.L. Verminburger 334

votes

answers

views

Is $\sigma_{1} = \frac{\sigma_{\tau}}{\sqrt{\tau}}$ suitable for volatility scaling?

volatility time-scale

Jul 15 at 12:39 A.L. Verminburger 334

votes

answers

109

views

Why bond (individual or their benchmark index) graphs predominantly display yield rather than price?

fixed-income

Jun 8 '18 at 11:30 A.L. Verminburger 334

votes

answer

104

views

Would you consider yield a stationary or non-stationary process?

fixed-income statistics stationarity

Apr 19 '18 at 20:16 Newbie 127

votes

answers

113

views

Why would a 9% dividend payment halve the stock price? [closed]

equities dividends

Aug 10 '14 at 18:15 A.L. Verminburger 334

vote

answer

views

Rationale for likelihood function parameter choice in Black-Litterman model?

black-litterman bayes-theory

Jun 15 at 14:00 Community♦ 1

vote

answers

103

views

Does forecasting asset returns by default assumes non-stationarity of asset returns?

returns forecasting log-returns stationarity

Mar 28 '18 at 15:41 Winkelried 113

vote

answer

views

What incentivises short selling? [closed]

short-selling

Jan 19 '18 at 14:56 A.L. Verminburger 334

vote

answer

views

$R^{2}$ Measure for Functions (Yield Curves)

fixed-income forecasting

Nov 14 '17 at 13:56 Brian B 12.3k

vote

answers

116

views

How are short rate models used to construct the whole of the yield curve? [closed]

fixed-income yield-curve short-rate

Nov 10 '17 at 16:55 A.L. Verminburger 334

vote

answer

422

views

Can a momentum strategy be cast as a multilinear regression model?

regression momentum

May 26 '17 at 14:36 zmwang 3

vote

answer

119

views

Large trend-followers: why use futures rather than ETFs?

futures etf trends

Jul 21 '16 at 5:36 uminatsu 56

votes

answer

views

Deriving the Forward Rate Formula from the Expectation Hypothesis

fixed-income yield-curve forward-rate

Jan 15 '18 at 17:04 A.L. Verminburger 334

votes

answer

views

Returns on actively trading bonds compared to equity?

fixed-income expected-return active-investing

Nov 15 '17 at 11:11 dm63 8,233

votes

answer

views

Is return required by a bond investor a function of base interest rate and credit worthiness of the issuer?

fixed-income interest-rates

Oct 24 '17 at 8:11 dm63 8,233

votes

answers

344

views

Do stochastic interest rate models forecast future interest rate?

interest-rates stochastic-processes

Aug 24 '17 at 15:53 noob2 4,394

votes

answer

views

Do exchanges issue position ID after order execution?

portfolio exchange asset

Mar 30 '17 at 16:50 msitt 653

-1

votes

answers

views

What would be the issue price of the following contract?

derivatives

Feb 25 '18 at 20:19 Ivan 931

-1

votes

answer

379

views

z-score versus log standardisation of stock prices for calculating correlation; which to use (in ML clustering, distance measure)?

time-series correlation machine-learning log-returns cluster

Mar 31 '17 at 9:07 A.L. Verminburger 334

Stack Exchange Network

current community

your communities

more stack exchange communities

Next privilege

Next badge

23 Questions

Why is Markowitz portfolio optimisation so popular considering it is worse than an equal weighted portfolio?

Why is the equity premium not arbitraged away?

Trading signal strength: [-1 to 1] or [predicted return]?

How is the integral relationship between current yield curve and forward yield curve derived?

Should a backtester have ability to run multiple strategies simultaneously?

Is $\sigma_{1} = \frac{\sigma_{\tau}}{\sqrt{\tau}}$ suitable for volatility scaling?

Why bond (individual or their benchmark index) graphs predominantly display yield rather than price?

Would you consider yield a stationary or non-stationary process?

Why would a 9% dividend payment halve the stock price? [closed]

Rationale for likelihood function parameter choice in Black-Litterman model?

Does forecasting asset returns by default assumes non-stationarity of asset returns?

What incentivises short selling? [closed]

$R^{2}$ Measure for Functions (Yield Curves)

How are short rate models used to construct the whole of the yield curve? [closed]

Can a momentum strategy be cast as a multilinear regression model?

Large trend-followers: why use futures rather than ETFs?

Deriving the Forward Rate Formula from the Expectation Hypothesis

Returns on actively trading bonds compared to equity?

Is return required by a bond investor a function of base interest rate and credit worthiness of the issuer?

Do stochastic interest rate models forecast future interest rate?

Do exchanges issue position ID after order execution?

What would be the issue price of the following contract?

z-score versus log standardisation of stock prices for calculating correlation; which to use (in ML clustering, distance measure)?