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visits member for 3 years, 3 months
seen Feb 22 '13 at 11:56

Now I think my display name is cool!Let's keep it ;)

Google+ http://gplus.to/csyang


Feb
20
comment Excellent information source on advanced machine learning / data mining based trading?
@Shane: Actually, the same analogy applies here. We wouldn't think QF.SE is redundant because QF is in the scope of money/investment/finance, or we would shut down this site once a site of broader topic launch, would you? But I totally understand people outside this community might think in this way. I guess how ML.SE people feel about their community is just like our feelings toward this site. :)
Feb
20
comment Excellent information source on advanced machine learning / data mining based trading?
@Shane: Well, not everyone thinks so? :) If you are interested, check out the following link. There are various reasons why people prefer a separate ML.SE. I am with them. meta.machinelearning.stackexchange.com/questions/24/…
Feb
18
comment Proof that you cannot beat a random walk
@hhh, Nobody here tried to beat real financial data. Vonjd was asking whether we can/can't beat the 'random walk', not the 'real world', in the way he wants. We are indeed aware of the difference between RW and real world, but thanks for reminding us. :)
Feb
10
comment Why are there so many different ways of calculating historical volatility
I would rephrase srkx's suggestion as "depends on your purpose", but this is not really a big deal ;p Anyway the big deal is: to a volatility trader, the type of volatility you calculate should depend on your delta hedging style. To a delta1 fund manager, it ought to depend on his portfolio 'rebalance' style. My philosophy in short: volatility is not 'real' to you unless you react to it (hedge/rebalance).
Feb
7
comment Quant PMs need to know the following…
@ZAxisMapping: This is a great question! :) and I don't quite understand why it was considered a off-topic and less specific question? Orz BTW, I also just became a fan of your unique and insightful answers. Glad to find you here and look forward to more discussion and your sharing. :)
Feb
7
comment Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
@Robert: I am with you, +1 on your comment :)
Jan
9
comment Can a higher P/E ratio be beneficial under certain circumstances?
Well, I think it's a 'classical' question :) and an answer from a pro research analyst will be more educational than an answer from an amateur. I am sure a pro has an answer much better than you expect. But still, the main point is: this question surprised me that SE doesn't have a place for pro research analyst yet, while we have this site for pro quants.
Jan
7
comment Can a higher P/E ratio be beneficial under certain circumstances?
If there is a SE for fundamentals research analyst, this is definitely a nice classical question! :) Sean, I wish I could answer your somewhere. What a pity that we don't have a place for you yet.
Jan
7
comment Can a higher P/E ratio be beneficial under certain circumstances?
I am curious why SE doesn't have place for professional research analyst yet? Even the new proposal, "Stock Investing", doesn't look like for professional fundamental research analyst or portfolio manager. The sample questions look more like for proprietary traders. As for Money.SE? I have to say it's more for amateur. Also, the topic there is too diverse.
Jan
6
comment How do you mix quantitative asset allocation with qualitative views?
@QuantGuy: Ha, haven't looked into entropy pooling in detail. Sorry for a RTFM question! ;p
Jan
6
comment How do you mix quantitative asset allocation with qualitative views?
@QuantGuy: Do you happen to have recommended references for scenario-probabilities-based framework (can you add it in your answer)? or has it been taken care of in entropy-pooling techniques. Thanks for great references again! b^_
Jan
6
comment Why a self-financing replicating portfolio should always exist?
Orz, debugging makes my answer a community wiki. Thus, I deleted and re-post it.
Jan
6
comment Why a self-financing replicating portfolio should always exist?
@chrisaycock: Thanks a lot for the attempt! :) Yeah, it feels like debugging, not fun. I found an acceptable alternative using \$P\$ \$_{T-3}\$. It seems that \$_{x}\$ ... z\$_{y}\$ doesn't work but \$_{x}\$ ... \$z\$ \$_{y}\$ will work, Orz.
Jan
6
comment Why a self-financing replicating portfolio should always exist?
Will highly appreciate if someone can kindly teach me how to make P\$_{T−2}\$ work. P\$_{T−2}\$ display properly in edit mode (and comments), but not after post? Why? Orz
Dec
14
comment How do I adjust a correlation matrix whose elements are generated from different market regimes?
@Branson: Nope' Sorry, you are watching a proprietary idea ;) If you are interested in more discussion, please feel free to contact me @ google+/linked
Dec
8
comment Innovative ways of visualizing financial data
I like it! Thanks for sharing, stonybrooknick! :)
Oct
25
comment How to extrapolate implied volatility for out of the money options?
@Tal: My answer to your question: To the best of my knowledge, what you are looking for just doesn't exist in 'public'. Or equivalently, the references you get now in this question and answers are the best you can have before you have more advanced proprietary knowledge. Hopefully save your time in searching for non-existing things.
Oct
25
comment How to extrapolate implied volatility for out of the money options?
\@Brian: I am with you all the way, Brian ;) @Tal: I would suggest you to be not that certain that Brian's concerns are irrelevant and have been carefully taken into account. Actually, I bet Brain has known everything you mentioned. And just an analogy to your comments about Peter Carr in TheBridge's answer: if you carefully check Brian's previous answers in QF.SE, you should doubt that he doesn't know what he's answering. He is obviously an expert/master in this subject. And interestingly, in this industry, proprietary advice is usually much better than the public reference.
Oct
24
comment Cleansing covariance matrices via Random matrix theory
I think RMT only helps you filter out noise eigenvectors. How we re-construct the correlation matrix after that is totally up to us. I personally will choose an approach that yield a diagonal of 1's. As for a diagonal != 1, it feels like that they are computing the 'cross-'correlation matrix between clean (after RMT) and noisy (before) time series (cause correlation of identical time series must equal to 1). Is it what you want? I thought we are looking for a correlation matrix composed of clean time series only.
Oct
21
comment Algorithm for the choice of stocks for a equity scalper/market maker to engage in?
You can have another indicator for the competition from other market makers. The ratio of volume / quote size is a nice start. After you start trading, your real % market share and analysis of pnl will be much better indicators. Occasionally, in HFT arms race, your % market share can dramatically drop after a major competitor upgrade their system. There are also more and more HFT market 'takers' now. Analyzing your pnl to understand how many $h!t you pick up (your limit order not fast enough to run away) can tell you more story between you and your taker competitors.