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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
Feb
23
revised Price of Brent versus West Texas Intermediate
latex escaping dollar signs; still renders poorly, tho
Feb
23
suggested approved edit on Price of Brent versus West Texas Intermediate
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.
Feb
20
revised How would you test the hypothesis “There are no idiosyncratic returns available in the market”?
i can unredundant my english
Feb
18
asked How would you test the hypothesis “There are no idiosyncratic returns available in the market”?
Feb
8
answered Expected Growth
Feb
7
awarded  Beta
Feb
7
answered How to combine various equity measures into a single measure (vector magnitude)