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1d
comment Are smart beta and risk parity the same?
If the answers are helpful please vote and consider accepting one of them - interaction and feedback is very important for this community. Thank you.
Apr
25
comment Optimize a trading strategy created in excel with R
...beware data snooping bias!
Apr
25
comment Are smart beta and risk parity the same?
@AlexC: Good point! Thank you
Apr
24
comment Are smart beta and risk parity the same?
A warm welcome to Quant.SE and thank you for this interesting question.
Apr
24
comment How to compute greeks using the adjoint Monte Carlo approach?
So basically you are using automatic differentiation (AD)?
Apr
23
comment Is CAPM a failure?
@GeorgeCoder: So do you have something to say that can be taken seriously?
Mar
30
comment Best practice for international Fama-French analysis
So you are saying that when using the above global or European factors it is best practice to convert the investments into USD and regress against the respective USD factors?
Mar
30
comment Best practice for international Fama-French analysis
Thank you, there are world factors and factors for the European market too - but also in USD! see here: mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/… and here: mba.tuck.dartmouth.edu/pages/faculty/ken.french/…
Mar
2
comment Why do Human traders make money?
If any of the answers were helpful it is considered good practice here to accept it - Thank you.
Feb
29
comment Why do institutions backtest?
"Mostly because of convention and tradition." - I think this is wrong, please see my answer.
Feb
26
comment Return Attribution: Possible remedies for multicollinearity
I think there is a tradeoff: You are much more flexible with constrained regression but you have to know exactly what you are doing, with ridge regression the process is more automatic so it is in a way less dangerous.
Feb
26
comment Return Attribution: Possible remedies for multicollinearity
Well, removing the extra degree of freedom by adding constraints to certain variables seems a little forced (and certainly not "standard"). Ridge regression is a far better alternative to reduce the variance in my opinion. I am curious if you find something on the net.
Feb
26
comment Return Attribution: Possible remedies for multicollinearity
Although constrained regression can be useful in some circumstances I fail to see how this can address this specific problem of multicollinearity. Can you give a source? (I didn't find any references concerning this point in the documents you cited). And could you please also give a source for your claim that it is the "industry standard for addressing this problem"? Thank you
Feb
26
comment How to calculate cumulative returns with one lag in R
what have you tried so far? what have you achieved? what is the exact problem?
Feb
26
comment Return Attribution: Possible remedies for multicollinearity
The problem with PCA is that in this case the new variables won't be interpretable any more (see also point 3 in my answer).
Feb
23
comment Density plot of the skew-t distribution
It would be helpful if you could post the resulting plots here.
Feb
22
comment How is this financial product called?
@StatTistician: pyCthon is correct, this is the product you are looking for.
Feb
21
comment Why do Human traders make money?
@Downvoter: It is good practice here to state your reason! Is there anything I could do to improve the answer? Thank you
Feb
21
comment Why do Human traders make money?
A very warm welcome to Quant.SE and thank you for this very interesting and good question! Please see my answer below.
Feb
18
comment Which features to include in an algorithmic trading dashboard?
the link doesn't work :-(