1,161 reputation
726
bio website twitter.com/shabbychef
location San Francisco, CA
age 42
visits member for 3 years, 6 months
seen Feb 5 at 18:32

matlab/stats/linux nerd. proud, sleepless, new parent. HCSSiM alum. faking it as a quantitative analyst at a small quant fund in San Francisco.


Aug
1
awarded  Popular Question
Jun
30
comment Can social media be applied to algorithmic trading?
The Bollen paper is very dubious; it has been thoroughly discredited here: sellthenews.tumblr.com/post/21067996377/noitdoesnot
Jun
25
answered How to annualize Sharpe Ratio?
Jun
24
answered Should I use an arithmetic or a geometric calculation for the Sharpe Ratio?
Apr
27
revised Is there an optimal covariance one would want forecasts to have?
latexification
Apr
12
awarded  Nice Answer
Jan
31
awarded  Yearling
Dec
16
awarded  Nice Question
Dec
11
awarded  Nice Question
Nov
9
answered What papers have progressed the field of quantitative finance in recent years (post 2000)?
Nov
9
comment Can social media be applied to algorithmic trading?
evidently Derwent is trying to reproduce the results! They are all over the media for this because Twitter is trendy. Not only is it free advertising, it may end-run around rules about hedge fund advertising. While I agree with you that the results are very unlikely to be reproducible, it doesn't much matter if the hype gets them clients.
Nov
8
comment Can social media be applied to algorithmic trading?
This is brilliant advertising for Derwent (hedge funds typically cannot advertise in the US), but the original paper by Bollen et al (now famous for being famous) is laughably inadequate. (just plot the empirical distribution of the 49 p-values they quote, for example.)
Nov
8
accepted is beta of a portfolio always meaningful?
Nov
8
accepted Approximately what proportion of a stock’s volatility is explained by market movement?
Nov
8
comment Can binary model lead to non-normal distribution?
you would have to violate the conditions of the Central Limit Theorem. For practical purposes this means having a non-finite variance to the binary jumps.
Nov
8
answered How to combine multiple trading algorithms?
Nov
8
asked What are some common models for one-sided returns?
Sep
25
awarded  Nice Question
Sep
20
comment How can one compute the Greeks on VIX Futures
hmm. I think I get it. Although the expectation is of the future value of the basket, and the derivative is with respect to spot basket value, right? In that case, I think I can use the 'Delta method' (after genuflecting before some regularity conditions) and get a good approximation. (Well, I view Delta method as Taylor's theorem plus expectation magic.)
Sep
7
comment Should Sharpe ratio be computed using log returns or relative returns?
that really makes no sense to me. If the AUM of the fund changes (investments/disbursements), or there is a split in the stock, or a large change in nominal value, you cannot compare dollar returns from one time period to another. Did I misunderstand your comment?