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| 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 | 176 |
matlab/stats/linux nerd. proud, sleepless, new parent. HCSSiM alum. faking it as a quantitative analyst at a small quant fund in San Francisco.
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Apr 28 |
comment |
Predicting Price Movements on a Betting Exchange Do you mean Albert Kyle? |
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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... |
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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. |
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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. |
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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' ) |
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Mar 23 |
answered | How to perform risk factor calculation? |
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Mar 23 |
awarded | Critic |
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Mar 9 |
accepted | Is there a standard model for market impact? |
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Mar 3 |
answered | estimating the accuracy of a method for forecasting the distribution |
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Mar 1 |
awarded | Enthusiast |
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Feb 23 |
revised |
Price of Brent versus West Texas Intermediate latex escaping dollar signs; still renders poorly, tho |
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Feb 23 |
suggested | suggested edit on Price of Brent versus West Texas Intermediate |
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Feb 20 |
comment |
How would you test the hypothesis “There are no idiosyncratic returns available in the market”? It seems for either of the two proposed tests I will have to correct for the correlation of stocks returns to each other (beyond just via the market) and possibly make some correction for multiple hypothesis tests. I was hoping for a more consolidated approach that looked at all stocks returns simultaneously. The graph presented with the commentary is supposed to be illustrative, I guess, but I am not sure what it tells me. |
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Feb 20 |
revised |
How would you test the hypothesis “There are no idiosyncratic returns available in the market”? i can unredundant my english |
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Feb 18 |
asked | How would you test the hypothesis “There are no idiosyncratic returns available in the market”? |
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Feb 8 |
answered | Expected Growth |
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Feb 7 |
awarded | Beta |
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Feb 7 |
answered | How to combine various equity measures into a single measure (vector magnitude) |
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Feb 6 |
comment |
How to combine various equity measures into a single measure (vector magnitude) What is the purpose of combining them? |
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Feb 6 |
accepted | How do you evaluate a covariance forecast? |
