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seen Mar 4 at 16:58

Jul
25
comment How to compute portfolio weights from multivariate regression results?
I see. I got a question on a similar thing where F are portfolios based on styles analysis Q1-Q5 portfolios a few days ago. My initial thought was that there was nothing gained from this method, but I haven't actually checked.
Jul
24
comment How to compute portfolio weights from multivariate regression results?
Isn't a lot of the explanatory power for y going to live in the error term from the multivariate regression and therefore effectively do the same as just solving the numerical relationship by minimizing the tracking error? What were you hoping to gain with this?
Jul
18
comment What commercial financial libraries are available to outsource implementation risk?
I decided against it because I don't actually offer any kind of answer to your question or suggestion inline with what you are after.
Jul
17
comment What commercial financial libraries are available to outsource implementation risk?
I agree with Freddy my experience with close vs open source quant solutions has generally been more positive with open source solutions (we use R mainly). With commercial solutions your turnaround for errors is often weeks or months but for open source hours or days.
Jul
17
comment What commercial financial libraries are available to outsource implementation risk?
There are hundreds of companies providing bespoke domain specific solutions some with API access but they generally are specified to a certain domain and don't open up their library functionality except through limited API or serviced solutions. Not embedible libraries. For software companies the scope and speed of delivery gets so bogged down when they have more than half a dozen clients for something liek this that they lose customers. This is why most banks/hfs build their own. But then again there are .NET based backtesting and trading systems available which might work for you.
Jul
3
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Mar
28
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Aug
25
comment References for developing an automated trading system?
Excluding the ones mentioned above (except for Chan's don't like that one either) you could check out Michael Durbin's book as an intro to HFT. It's pretty good. For algo in general + DMA Barry Johnson's book is great.
Aug
24
comment References for developing an automated trading system?
Seriously? Anyone who's worked in this space will tell you Irene Aldridge is a hack and her book is drivel.