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Mar
2
revised illiquid american options pricing
deleted 42 characters in body
Mar
2
comment illiquid american options pricing
@ chrisaycock: yes; @ richardh: my question is theoretical, I have changed the wording
Mar
2
comment illiquid american options pricing
what about a stock which is listed but not liquid?
Mar
1
asked illiquid american options pricing
Mar
1
comment What type of analysis is appropriate for assessing the performance time-series forecasts?
What do you mean?
Mar
1
comment Supply and Demand of Oil
@bill_080: Good illustration! May I ask if you have build this curve yourselves? Also does this corresponds to the cumulative capacity or the cumulative actual production? (the difference can be big for Saudi Arabia for instance). Hence this price move is justified only if the Saudis do not increase their production
Mar
1
comment Price of Brent versus West Texas Intermediate
@ bill_080 eia.doe.gov/oog/info/twip/twip.asp (I could not find the good link then you hqve less than 1 week to click on this)
Feb
28
answered Price of Brent versus West Texas Intermediate
Feb
28
comment Price of Brent versus West Texas Intermediate
I disagree. The main difference between WTI and Brent is the delivery location. For WTI it is Cushing, which is inland, far from the coast. For Brent it is anywhere in the North Sea (The contract is settled against a 15 days forward contract for delivery anywhere in the area, to be defined between the buyer and the seller). The difference in quality is actually small compared to the issues that meet both WTI (glut in cushing and no pipeline to send back the oil to the coast) and Brent (scarcity of Brent oil due to field depletion).
Feb
18
awarded  Commentator
Feb
18
comment How useful is the genetic algorithm for financial market forecasting?
you select your strategy using past data, then you apply it to future data! That way you are absolutely not sure that an optimised GA will perform! It will work only if there is persistence
Feb
18
answered How useful is the genetic algorithm for financial market forecasting?
Feb
16
answered Digital Signal Processing in Trading
Feb
16
answered Is there a standard method for quantifying mean-reversion for use in directional trading?
Feb
15
comment Correlation between prices or returns?
I would add that one may want to look at either correlation of returns or cointegration of prices rather than correlation on prices
Feb
7
awarded  Beta
Feb
7
comment Mean reverting strategies
Thanks for you input. I have been looking with much interest at your website and found your papers very good. I can see that you sometimes look at mean reversion in spread using futures. How do you roll from one contract to another and don't you think that you may break the cointegration each time you roll?
Feb
3
awarded  Student
Feb
2
comment What are the best master programmes for someone interested in a career in quantitative finance?
Ecole Polytechnique?
Feb
2
awarded  Critic