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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?
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Apr
27
comment What is a good broker for HFT?
off topic question?
Apr
26
revised How are correlation and cointegration related?
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Apr
26
comment How to incorporate technical indicators into neural networks?
like what? HMM?
Apr
26
revised How are correlation and cointegration related?
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Apr
25
answered How are correlation and cointegration related?
Apr
18
comment George Soros models
are j and k fixed in your example? Otherwise this is just the description of a random walk.
Apr
15
comment Mean reverting Indicator
:) good luck Zarbouzou, others have tried before you
Apr
15
revised Library to solve optimization problems
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Apr
14
comment What types of neural networks are most appropriate for trading?
ok thnaks. would be interested to read more about your testing setup indeed.
Apr
14
answered Library to solve optimization problems
Apr
13
comment What types of neural networks are most appropriate for trading?
"Today, we use HCNN forecasts to predict prices for energy and precious metals to optimize the timing of procurement decisions." Who's "we"?
Apr
12
accepted better estimator of volatility for small samples
Apr
12
awarded  Scholar