Reputation
1,003
Top tag
Next privilege 1,250 Rep.
Create tag synonyms
Badges
7 18
Impact
~55k people reached

Apr
18
comment Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
Thank you for enhancing your answer, I appreciate reading it a lot.
Apr
18
comment Why is the first principal component a proxy for the market portfolio, and what other proxies exist?
When you say "Why is this the market factor? If you examine the weights (factor loadings) of the first eigenvector in a histogram you will find they are generally all of the same sign whereas this is not the case for any of the subsequent eigenvectors", I am not convinced by this argument. I agree that the among all PCA components, the first one is the most representative of the market, but maybe there is another set of weights that is better than this one.
Feb
10
comment How to compute performance attribution between daily rebalanced strategies?
interesting idea
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?