Gaetan Lion

1,166 reputation

417

bio	website	slideshare.net/gaetanlion
	location	California
	age
visits	member for	2 years, 8 months
	seen	May 17 at 4:32
stats	profile views	234

Financial professional with expertise in financial modeling, risk management, and related quantitative methods including Monte Carlo simulation, linear and logit regression, and statistical hypotheses testing.

	1,166 reputation	bio	website	slideshare.net/gaetanlion	visits	member for	2 years, 8 months
417 badges		location	California		seen	May 17 at 4:32

summary answers questions tags badges favorites bounties reputation activity

151 Actions

suggestions reviews revisions comments badges posts accepts all

May 11	awarded	Good Question
May 6	awarded	Popular Question
Feb 3	accepted	Big Data vs multiple hypothesis testing?
Jan 30	revised	Big Data vs multiple hypothesis testing? added 14 characters in body
Jan 29	asked	Big Data vs multiple hypothesis testing?
Oct 25	awarded	Notable Question
Oct 13	comment	How to estimate the deposit mix of a bank using interest rate as the independent variable? I looked into VAR and with a colleague developed a VAR model for this problem. My conclusion is that it is really not a VAR application. Logically it does not make any sense. To predict any of the dependent variables you need future estimates of all the other dependent variables. That does not work. Can anyone come up with a sensical alternative?
Oct 8	accepted	How to calculate the combined standard error of two models?
Oct 3	comment	How to calculate the combined standard error of two models? The latter, the RMSE.
Oct 1	comment	How to calculate the combined standard error of two models? whuber, see my edited answer I think it is getting closer if not downright correct. What do you think?
Oct 1	revised	How to calculate the combined standard error of two models? added 134 characters in body
Oct 1	comment	How to calculate the combined standard error of two models? This is a simple example to capture the relevant calculation. So, the stock market return model is based solely on GDP growth. The second and third questions are not directly relevant. This is a made up example to ask the question. See my answer below. Do you think it is right?
Oct 1	answered	How to calculate the combined standard error of two models?
Oct 1	asked	How to calculate the combined standard error of two models?
Sep 27	comment	How to estimate the deposit mix of a bank using interest rate as the independent variable? To further define the deposit variable, to keep it short let's say there are just 3 products: CDs, savings acct., checking acct. And, let's assume they have all equal share of the deposit mix: CDs 33.3%, savings 33.3%, checking 33.3%. And, we want to observe how that deposit mix changes over time using FF rate as the one independent variable. Could you really do that using VAR? What software do you need to do VAR?
Sep 27	asked	How to estimate the deposit mix of a bank using interest rate as the independent variable?
Sep 16	awarded	Yearling
Sep 13	awarded	Nice Question
Aug 14	accepted	How to build a regression model with just 5 datapoints with 5 or more variables?
Aug 8	comment	How to build a regression model with just 5 datapoints with 5 or more variables? Peter, they are similar but far from identical. There are variations in size, lot size, # of bedrooms & bathrooms, etc... And, those characteristics are the independent variables. As mentioned in another comment, I have resolved this conundrum by using an optimization (minimizing the square of the errors in estimating sales prices of those homes). It worked well. And, I generated almost the exact same valuation for my house as the one generated by Value Appeal.com. The latter is a professional service that assists you in appealing property tax.