meta user
network profile
| bio | website | twitter.com/shabbychef |
|---|---|---|
| location | San Francisco, CA | |
| age | 41 | |
| visits | member for | 2 years, 3 months |
| seen | May 1 at 17:00 | |
| stats | profile views | 174 |
matlab/stats/linux nerd. proud, sleepless, new parent. HCSSiM alum. faking it as a quantitative analyst at a small quant fund in San Francisco.
|
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? |
|
Sep 7 |
asked | How can one compute the Greeks on VIX Futures |
|
Sep 7 |
awarded | Nice Question |
|
Aug 1 |
revised |
Question about equations and risk factors. had missing clause which looked weird. |
|
Jul 31 |
awarded | Revival |
|
Jul 31 |
answered | Question about equations and risk factors. |
|
Jul 22 |
comment |
Should Sharpe ratio be computed using log returns or relative returns? what exactly do you mean? returns with dollar units? |
|
Jul 22 |
comment |
Should Sharpe ratio be computed using log returns or relative returns? This is a good point. For my purposes, I have the daily (or even higher frequency) marks because I am looking at equity portfolios. |
|
Jul 22 |
comment |
Should Sharpe ratio be computed using log returns or relative returns? daily returns as percents or in log returns? |
|
Jun 15 |
answered | Using linear regression on (lagged) returns of one stock to predict returns of another |
|
May 1 |
asked | Should Sharpe ratio be computed using log returns or relative returns? |
