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bio website isomorphismes.tumblr.com
location Great Cacapon, WV
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visits member for 3 years, 10 months
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argonaut: A person who is engaged in a dangerous but potentially rewarding quest.


Sep
24
awarded  Autobiographer
Feb
13
comment Why is there no “meta-model”?
@Anna You're right, I don't think there is. I just meant that you could evaluate $f \vert_{\text{short interval}}$ for many subintervals over a long period of time, with low error on each subinterval. By Taylor's thm each $f \vert_{\text{short interval}}$ would be linear if $f \in \mathcal{C}^1$. If $f \not\in \mathcal{C}^1$ then $|f \vert_{\text{short interval}} |$ would still be a bounded jump.
Mar
16
awarded  Excavator
Mar
15
awarded  Editor
Mar
15
revised Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
improved formatting
Mar
15
comment Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
+1. Statistical comparisons always require some baseline. As in The Lady Tasting Tea, it's up to you to establish a sensible baseline. One might be able to improve upon completely random baselines by comparing only amongst similar subsets, for example. Or maybe it's better to keep hands off so one doesn't have to justify this or that particular weighting scheme. But then what justifies the uniform weighting scheme? Etc.
Mar
15
suggested approved edit on Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
Mar
15
awarded  Critic
Mar
12
awarded  Necromancer
Jan
1
comment Is there a technique for using xts or zoo objects with options data (i.e., many entries per date) in R?
My question would be: is it better to encode option prices as "chords" (a specific chain at each timepoint) or "melodies" (independent timeseries at each strike) ? You'd want some obvious relations to be built into the object...(eg, check to make higher strike at same time is more expensive; derive a comparison of same strike at two timepoints)
Dec
5
comment What advanced statistical techniques are quant researchers using?
They are probably using the Reverse Kolmogorov-Smirnov, which is doubtless the most complicated and, therefore, effective technique for (para)statistical (quasi)(k,L)-arbitrage in quantitative finance.
Sep
24
awarded  Citizen Patrol
Sep
24
awarded  Custodian
Sep
24
reviewed Leave Open T-note returns from T-note yields … derivation of Damodaran's formula
Sep
24
reviewed Leave Open Brent Crude Data
Sep
8
comment Is Scala used in trading systems
miriamlaurel.com = 404
Sep
8
comment Is Scala used in trading systems
Not exactly functional but K is used in finance as well. Discussions of its use in quant finance frequently pop up here: reddit.com/r/apljk
Sep
8
comment Is Scala used in trading systems
Why is Java preferred in the unburdened new systems?
Apr
18
awarded  Nice Answer
Jan
31
awarded  Yearling