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Jul
25
revised Which approach dominates? Mathematical modeling or data mining?
added line to 2nd paragraph
Jul
25
answered Which approach dominates? Mathematical modeling or data mining?
Jul
24
answered Free paper trading site with an API
Jul
24
awarded  Commentator
Jul
24
comment Can the futures market's open interest predict commodity, treasury, and equity returns?
I've traded models with $R^2$ of under 3% (on individual instruments) and they can make quite compelling strategies if you have enough independent instruments. It is not clear whether Hong and Yogo's paper would lead to a viable quant trading strategy or not, but the $R^2$ alone does not present much evidence either way. Regardless, $R^2$ has virtually no bearing on transaction costs (i.e. trading frictions).
Jul
24
answered Why would an investor trade a variance swap over a volatility swap?
Jul
22
asked How should I calculate the implied volatility of an American option in a real-time production environment?
Jul
22
comment Papers about backtesting option trading strategies
@vonjd: The third one (Goyal and Saretto (2007)) is probably one of the best references in this area, IMO.
Jul
22
answered Papers about backtesting option trading strategies
Jul
22
answered What programming languages are most commonly used in quantitative finance?
Jul
22
comment Can the futures market's open interest predict commodity, treasury, and equity returns?
Your contention that low $R^2$ implies high trading frictions is simply untrue. The size of the effect (which, when they say it is "economically large," they mean it is greater than typical trading costs) is more important. Furthermore, 3% is actually fairly high for a regression involving a single instrument on the LHS.
Jul
22
revised Currency Hedged ETFs
elaboration and correction
Jul
22
awarded  Scholar
Jul
22
comment What is the ideal ratio of in-sample length to out-of-sample length?
Thanks for pointing out the reference to Aronson. It seems like a very thorough and well-written work, even though I would not have looked at it otherwise because the title is rather off-putting to one who prefers to make scientific investment decisions, whereas technical analysis is typically associated with subjective chart patterns.
Jul
22
accepted What is the ideal ratio of in-sample length to out-of-sample length?
Jul
22
answered Currency Hedged ETFs
Jul
22
answered Are there any standard MBS coupon stack models?
Jul
22
answered Should Sharpe ratio be computed using log returns or relative returns?
Jul
22
answered Do low volatility stocks outperform high volatility stocks over the long run?
Jul
22
revised What are the advantages of switching platforms/languages between strategy development and implementation?
clarified question