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seen Oct 22 at 9:03

Jul
15
revised Obtaining characteristics of stochastic model solution
added 17 characters in body
Jul
15
asked Obtaining characteristics of stochastic model solution
Jul
12
comment How to calculate expected return based on historical data for Mean Variance Analysis
@miggety: There is no one best technique to forecast returns. It is the most difficult part of your model. Some take discretionary decisions, others trust machine learning like god. There is a lot of different things to explore. And yes definitely time series analysis is a good basis for this problem. Good luck
Jul
12
awarded  Altruist
Jul
11
awarded  Nice Question
Jul
11
comment Measuring liquidity
@shane. If you hit the quote, there is a trade, no? Maybe there is no depth if you are able to trade only one unit, but I think that if there is a quote for both bid and ask and the spread is small it means that the market is there
Jul
8
comment How to calculate expected return based on historical data for Mean Variance Analysis
Even if it is not precisely the question, I think the question raises another issue, which is "Does past returns provide a good estimate of future returns?" These protfolio allocation algos are good but IMO it is a bit easy to assume that we have a good estimate of the returns. If you give me a good estimate of the future return, let me manage your money, its not too hard. Rather than focusing on that, shouldn't we focus on how to forecast returns?
Jul
5
comment DSP: stationary non-periodic signal: what's the best causal technique?
Have you managed to implement some causal versions of wavelets with success?
Jul
5
revised DSP: stationary non-periodic signal: what's the best causal technique?
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Jul
5
comment DSP: stationary non-periodic signal: what's the best causal technique?
Wavelet is not a causal technique. there is a huge boundery effect due to the selection of either "reflection" of "periodic"
Jul
5
awarded  Investor
Jun
30
accepted Mean reverting strategies
Jun
29
answered Measuring liquidity
Jun
21
comment How can I quantitatively test the validity of momentum indicators?
A lot of random walks seam to have momentum periods. But I doubt it helps predict future returns
Jun
21
comment How can I quantitatively test the validity of momentum indicators?
I would say that backtest is not enough. I would as well backtest your strategy on generated random walks and see how often the random walk underlying gives you better/worse results than the true underlying
May
25
awarded  Citizen Patrol
May
25
comment Tradable Volatility
By trading the future contracts, you loose the long term mean reversion property. Each time you roll from one future to another, you break the mean reversion.
May
12
answered Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff?
Apr
27
revised How are correlation and cointegration related?
deleted 5 characters in body
Apr
27
comment What is a good broker for HFT?
off topic question?