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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 2 years, 3 months |
| seen | May 14 at 5:35 | |
| stats | profile views | 146 |
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Apr 12 |
accepted | Can the concept of entropy be applied to financial time series? |
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Apr 12 |
comment |
How does return-based analysis calculate expected return of a trading system? @ MilkTrader. To answer specifically your question, I disagree. What counts is the number of times your indicator changes. Consider your strategy with milliseconds if you want, you won't change the fact that you have 10 trading decisions in 4 years |
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Apr 12 |
comment |
How does return-based analysis calculate expected return of a trading system? I don't have access to the book, what is this test? |
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Apr 12 |
comment |
How to determine if one player moved a price I guess you have to look at the ladder. But I'm not sure will give you here solutions for your problem |
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Apr 12 |
comment |
How does return-based analysis calculate expected return of a trading system? If your position changed only 10 times in 4 years, I would be a bit worried about data mining |
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Apr 7 |
comment |
Good quant finance jokes illiquid options theory required |
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Apr 5 |
revised |
penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$ latex format |
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Apr 5 |
suggested | suggested edit on penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$ |
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Apr 4 |
comment |
Trading C++ Libraries C or C++? It is not the same |
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Apr 4 |
comment |
Role of skewness in portfolio optimization? Type of portfolio optimization? Skewness of what? Can you detail a bit your question? It would help clarify it. |
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Apr 1 |
comment |
Can the concept of entropy be applied to financial time series? just went through your first paper. Very good, thank you for the link |
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Apr 1 |
comment |
How does pair trading work? but I agree with your point. One can create any quantitative strategy with two pairs. |
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Apr 1 |
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How does pair trading work? this strategy has a good realised sharpe? ;) |
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Apr 1 |
comment |
Do low volatility stocks outperform high volatility stocks over the long run? no, but returns are supposed to be easier to predict |
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Apr 1 |
comment |
better estimator of volatility for small samples Where can I find the definition of a "sequential indicator transform"? Sorry for my lack of knowledge, it is the first time I hear about it. |
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Apr 1 |
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better estimator of volatility for small samples It is an interesting point, because a small sample is skewed by nature |
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Apr 1 |
comment |
Why does the VIX index have *any* correlation to the market? "Since long positions outweigh short positions in the market as a whole"???? What about futures markets? |
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Apr 1 |
comment |
better estimator of volatility for small samples if which data is skewed? The sample of the entire population? |
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Apr 1 |
asked | Can the concept of entropy be applied to financial time series? |
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Apr 1 |
comment |
better estimator of volatility for small samples "more popular in many applications and gives good results." Do you have a reference for this? |
