RockScience

834 reputation

315

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visits	member for	2 years, 3 months
	seen	May 14 at 5:35
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	834 reputation	bio	website		visits	member for	2 years, 3 months
315 badges		location			seen	May 14 at 5:35

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Feb 10	comment	Why is the first principal component a proxy for the market portfolio, and what other proxies exist? I still think it is very accurate to say that "PCA is maximizing the variance". PCA weights can be found by formulating the problem as a max of the variance under constaint
Feb 10	accepted	Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
Feb 10	accepted	Obtaining characteristics of stochastic model solution
Feb 4	asked	How to compute performance attribution between daily rebalanced strategies?
Feb 1	comment	How to hedge against lack of volatility some trading strategies perform better when there is high volatility. Hence hedging against low volatility can makes sense.
Feb 1	awarded	Yearling
Jan 11	comment	Has high frequency trading (HFT) been a net benefit or cost to society? It definitely has been a benefit for exhanges, that have made millions in trading fees
Jan 5	answered	How do you remove expected returns from asset allocation strategies?
Jan 3	comment	Why a self-financing replicating portfolio should always exist? in theory, yes, but then you need to readjust your position dynamically intraday and very often the cost and slippage of this replication will be so high that in practice it doesn't work.
Jan 2	comment	What is the intuition behind cointegration? @user40 A Drunk, Her Dog and A Boyfriend econ.canterbury.ac.nz/downloads/amstat.pdf
Jan 2	revised	Why is the first principal component a proxy for the market portfolio, and what other proxies exist? removed comment in the question
Dec 30	revised	Why is the first principal component a proxy for the market portfolio, and what other proxies exist? added 10 characters in body
Dec 30	revised	Why is the first principal component a proxy for the market portfolio, and what other proxies exist? added 99 characters in body
Dec 30	asked	Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
Nov 8	comment	time series management system what about building your own framework? It is not so complex. A relational database with different field per time serie revision will do the last trick
Oct 25	comment	Should cointegration be tested using close or adjusted close prices? @Freewind investopedia.com/terms/t/totalreturn.asp#axzz1bmKQrATU
Oct 25	answered	Is there a quantitative finance ranking system for universities?
Oct 13	comment	How to detect regime change when estimating asset correlation from historical time series? of course, garch is implemented in several R packages
Jul 25	comment	Why would an investor trade a variance swap over a volatility swap? How do you explain that since 2008 single stock vol swaps are more quoted than their var cousins?
Jul 24	revised	Why would an investor trade a variance swap over a volatility swap? deleted 24 characters in body