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Aug
2
revised How do I graphically represent the evolution of a covariance matrix over time?
Added graphs to illustrate my implementation of Quant-Guy's answer
Aug
2
comment How do I graphically represent the evolution of a covariance matrix over time?
That's brilliant! I just tried it and it actually works really well to demonstrate major shifts in the correlation structure. Can we do some cleanup and incorporate your comment into your answer?
Aug
2
accepted How do I graphically represent the evolution of a covariance matrix over time?
Aug
2
comment How to quantify the impact of management cost on return?
@hhh, I agree that EC is greater if the drift is positive (as in your example), and AC is greater if the drift is negative. No need for condescension. I am trying to help you work out the problem by defining the terms, or at least finding a reference where these terms have been defined. We can delete this and post a summary of my questions on your question as a comment if you like. However, you still have not answered most of them, and I think it will be difficult for anyone not familiar with this exact problem to help you solve it without those answers.
Aug
2
comment How do I graphically represent the evolution of a covariance matrix over time?
I think you misunderstood my question. In my case, it is pretty clear to me what the relationships are between the variables, and in fact I have already plotted dendrograms to investigate this. However, it is not clear how I can examine changes in the inter-relationships over time. $T$ is about 600 in my case, so clearly drawing a minimum spanning tree and/or dendrogram at each point in time is not practical.
Aug
2
comment How to quantify the impact of management cost on return?
@hhh I haven't been able to find any references, so links would be helpful. Working out some of the math on my own, it would seem that if the charging function is affine (which it usually is) and the price process has zero drift (which is close to true for the horizons involved), then the economic and accounting cost are equal.
Aug
2
asked Why are exotic options most popular in FX?
Aug
2
comment How do I backtest a convertible bond arbitrage strategy in R/Matlab?
Thanks for the info, but I was looking for specific info about convertible bonds (see update). I have tried searching the various R tools, but they are not exactly user friendly, hence my question.
Aug
2
revised How do I backtest a convertible bond arbitrage strategy in R/Matlab?
clarified question is regarding CB backtesting, not general backtesting
Aug
2
awarded  Revival
Aug
1
asked How do I graphically represent the evolution of a covariance matrix over time?
Aug
1
comment How to quantify the impact of management cost on return?
@hhh Also, since you ask for references, do you have any references yourself that outline the problem itself, or is this something you are exploring on your own?
Aug
1
comment How to quantify the impact of management cost on return?
@hhh I'm trying to work out your problem but having difficulty with all the notation. Can you clarify the notation a bit? I assume $C_i$ is the cost (management fee). What is the charging function? What is $x_i$, the argument of this function? Why is the 2-year interval relevant?
Aug
1
answered How should I estimate the implied volatility skew term when calculating the skew-adjusted delta?
Aug
1
answered Arbitraging OANDA continuous rollover vs other brokers' discrete rollover
Aug
1
revised Is there any good research on support and resistance?
better intro to answer
Aug
1
answered Separating the wheat from the chaff: What quant methods separate skillful managers from lucky ones?
Aug
1
answered Is there any good research on support and resistance?
Aug
1
answered How to quantify the impact of management cost on return?
Aug
1
comment What research is available on the performance of convertible bond arbitrage models?
Thanks for the link, but I'm looking for research on the strategy itself, not on funds that employ the strategy. In Lo's paper, convertible bond arbitrage is just one of many hedge fund strategies that he examines. He does not discuss how different variants of CB arbitrage (particularly employing the more recent models) have performed.