1,161 reputation
726
bio website twitter.com/shabbychef
location San Francisco, CA
age 42
visits member for 3 years, 7 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.


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?
Apr
28
comment Predicting Price Movements on a Betting Exchange
Do you mean Albert Kyle?
Apr
13
comment How does UBS hedge its exposure to XVIX ETN?
XVIX tracks a spread in VIX futures prices. Any tracking 'error' attributable to the futures prices not matching spot VIX should not be attributed to XVIX failing to track...
Apr
13
comment How does UBS hedge its exposure to XVIX ETN?
It's an ETN, not an ETF. they do not have to publish holdings.
Mar
23
comment How to perform risk factor calculation?
if you perform e.g. a en.wikipedia.org/wiki/Gram_schmidt normalization before the regression, you will have an orthogonal design matrix. However, it is difficult to interpret the resultant regression coefficients.
Mar
23
comment How to perform risk factor calculation?
This is only the case for simple linear regression with a single factor (i.e. CAPM), and not for multiple linear regression. If computing a multiple linear regression were that simple, there wouldn't be the vast mountain of literature on the topic (do a google search for 'solving normal equations' )
Mar
23
answered How to perform risk factor calculation?
Mar
23
awarded  Critic
Mar
9
accepted Is there a standard model for market impact?
Mar
3
answered estimating the accuracy of a method for forecasting the distribution
Mar
1
awarded  Enthusiast