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A.L. Verminburger

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22 Questions

Views Newest Activity Votes

votes

answers

views

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

Oct 21 at 17:18 vonjd 18.7k

votes

answers

397

views

Why is the equity premium not arbitraged away?

equities fixed-income

Jul 30 '14 at 14:23 Tom Au 404

votes

answers

181

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 314

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 3,168

votes

answer

216

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 314

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 314

votes

answer

views

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

fixed-income statistics stationarity

Apr 19 '18 at 20:16 Newbie 113

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 314

vote

answers

102

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 314

vote

answer

views

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

fixed-income forecasting

Nov 14 '17 at 13:56 Brian B 12.2k

vote

answers

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 314

vote

answer

411

views

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

regression momentum

May 26 '17 at 14:36 zmwang 3

vote

answer

118

views

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

futures etf trends

Jul 21 '16 at 5:36 uminatsu 56

votes

answer

views

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

black-litterman bayes-theory

May 16 at 13:14 numerairX 381

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 314

votes

answer

views

Returns on actively trading bonds compared to equity?

fixed-income expected-return active-investing

Nov 15 '17 at 11:11 dm63 8,062

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 8,062

votes

answers

312

views

Do stochastic interest rate models forecast future interest rate?

interest-rates stochastic-processes

Aug 24 '17 at 15:53 noob2 4,404

votes

answer

views

Do exchanges issue position ID after order execution?

portfolio exchange asset

Mar 30 '17 at 16:50 msitt 723

-1

votes

answers

views

What would be the issue price of the following contract?

derivatives

Feb 25 '18 at 20:19 Ivan 906

-1

votes

answer

367

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 314

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22 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?

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]

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?

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

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)?