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visits member for 3 years, 4 months
seen Oct 31 at 10:03

Jul
24
awarded  Yearling
Jul
2
awarded  Curious
Apr
24
awarded  Enlightened
Apr
24
awarded  Nice Answer
Aug
20
comment How to compute a sector's volatility within a portfolio?
I bring up correlation only in case it was relevant within someone's idea of an answer. I ask the question because I don't know.
Aug
20
accepted How to compute a sector's volatility within a portfolio?
Aug
20
comment How to compute a sector's volatility within a portfolio?
Yes, still working on the risk budgets problem... this makes a lot of sense within the construct of the various contribution metrics we have. I'll give it a go, thanks.
Aug
20
accepted Price volatility instead of return volatility for spread option parameter
Aug
16
asked How to compute a sector's volatility within a portfolio?
Aug
7
comment Historic market cap/outstanding shares
Do you have access to Bloomberg?
Jul
24
awarded  Yearling
Jun
12
accepted Continuous returns for negative roll-adjusted futures data
Jun
12
answered Continuous returns for negative roll-adjusted futures data
Jun
8
comment Continuous returns for negative roll-adjusted futures data
Would the backward adjustment factor computed for a given roll apply to all previous contracts strung together or just the last contract? I.e. do you multiply every previous price by the factor in the series or just the price for the last contract?
Jun
6
comment Continuous returns for negative roll-adjusted futures data
That's basically what we're doing. When the deferred month open interest exceeds the active contract open interest, we simulate the roll by taking the difference between the deferred and active contract prices which is the roll adjustment. This value is accumulated through time as discussed above to represent the cost of carrying the contract.
Jun
6
asked Continuous returns for negative roll-adjusted futures data
Jun
4
comment IB TWS & API, without IB account?
@chrisaycock if I remember correctly it is just historic data posing as realtime. You won't see SPX trading at 50,000 or anything like that.
May
29
awarded  Custodian
May
29
reviewed Approve suggested edit on Statistical models for exchange rates?
May
27
asked Risk Budgets with Target Portfolio Volatility