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visits member for 3 years, 9 months
seen Oct 22 at 9:03

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
Feb
2
comment How useful is Markov chain Monte Carlo for quantitative finance?
Thanks DavidShor, great question
Feb
2
comment How useful is Markov chain Monte Carlo for quantitative finance?
Same question as @DavidShor. Also even if true, financial applications of quantitative methods are not only pricing.
Feb
2
comment Mean reverting strategies
This link is quite interesting I think arxiv.org/abs/0808.1710
Feb
2
comment Mean reverting strategies
Orstein-Uhlenbeck is a AR(1) if I am not wrong? I would like a more general method. I have tried to fit a time varying ARMA(p,q), which is I think a more general model than Orstein-Uhlenbeck.
Feb
2
answered How does pair trading work?
Feb
2
comment Mean reverting strategies
I agree it is a good debate. But honestly I think we can share technics without the strategies themselves. It is often a matter of how you use the technics...
Feb
1
awarded  Teacher
Feb
1
awarded  Supporter