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vonjd
  • Member for 13 years, 2 months
  • Last seen more than a month ago
8 votes
Accepted

When to use the real world drift and when the risk neutral one for a Monte-Carlo simulation?

8 votes

Model Validation Criteria

8 votes

Algorithmical replication of a profit and loss function using different options

8 votes

Why aren't econometric models used more in Quant Finance?

8 votes
Accepted

What are the main market anomalies/inefficiencies detected in quantitative finance?

8 votes
Accepted

What mathematical models did Harry Markopolos run to prove that Bernie Madoff 1% a month gain was a Ponzi scheme?

8 votes
Accepted

Why do anomalies disappear after they get detected?

8 votes

Poker and Options Trading

8 votes

Problems with local volatility models (vs stochastic volatility models)

7 votes

Is "risk-neutral probability" a misnomer?

7 votes

Something fundamentally different about cryptocurrencies?

7 votes

Intuitive Explanation for Shannon's Demon?

7 votes

How to identify technical analysis chart patterns algorithmically?

7 votes
Accepted

Typical risk aversion parameter value for mean-variance optimization?

7 votes

Does Fama French Three Factor Model Work out of Sample (after 1993)?

7 votes

What are the options for a mathematician to break into QF without working for a fund?

7 votes

In Black-Scholes, why is $\log{\frac{S_{t+\triangle t}}{S_t}} \sim \phi{((\mu - \frac{1}{2}\sigma^2)\triangle t, \sigma^2 \triangle t)}$?

7 votes

An alternative to the Gaussian distribution to describe/fit market stock returns

7 votes

Why does it "say" portfolio diversification not suitable during market turmoil?

7 votes

Copulas simply explained

7 votes

Scan for chart patterns software

7 votes
Accepted

How does one analyze diversification if stock prices follow a Cauchy distribution?

7 votes

What are the best sources for equity quantitative research?

7 votes

Is Conditional Value-at-Risk (CVaR) coherent?

7 votes
Accepted

Missing step in stock price movement equations

7 votes

The Basis of Using Technical Indicators as Inputs

7 votes

What is the Sugihara Trading System?

7 votes

Calculating log returns using R

6 votes

What does put-call parity imply about option premiums?

6 votes

Volatility pumping in practice

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