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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.
Aug
1
comment Will price levels fall even though money supply increases?
Is answering this question related to your work in quantitative finance? If not, I'm not sure this question is in scope.
Aug
1
comment Which brokers offer a .NET stock trading API?
I have looked around as well and have not found any good alternatives to the ones you've mentioned.
Jul
29
comment How can I learn about the quantitative aspects of market making in illiquid single stock options?
@Soham, lucky for you, this has already been answered on English Stack Exchange! I just meant that I wouldn't trust the "guide" posted above. It looks riddled with errors and is sloppily written.
Jul
29
answered What are the advantages of switching platforms/languages between strategy development and implementation?