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visits member for 2 years, 11 months
seen Aug 17 at 16:00

Dec
5
comment ADF test in R yielding perfect cointegration. How is this possible?
Stu, Why are you running an adf on the cumsum of a random series as a comparison? Almost any cumulative sum will have a unit root.
Jul
19
comment corporate action data
I'll bite. why are questions on quality of data off-topic? (apparently, calendar data is on topic and basic NPV questions are.)
Jul
16
comment corporate action data
Thank you very much
Jul
14
comment corporate action data
Thank you very much. I am not sure how I missed that.
Jul
14
comment Is there a piratebay for data(bases)? (here, talking about historical financial data)
I wouldn't say tickdata.com is super cheap. 95K for only US TAQ is not super cheap for individuals or small funds. Its just the cheapest there is.
Aug
27
comment Appropriate method for calculating negative returns on a trading strategy?
I agree with you on the forward looking aspect of max drawdown. I wanted something that could easily compare across strategies.
Aug
23
comment Python library for Portfolio Optimization
I have been meaning to get a demonstration. I have wanted to throw out my big ball of duct tape,er. research environment, for a while
Aug
23
comment Python library for Portfolio Optimization
Have you used RapidQuant?
Aug
8
comment What data sources are available online?
Has anyone seen something that is up to date on this?
Jun
21
comment Which approach dominates? Mathematical modeling or data mining?
You can know the error bars with cross validation and out of sample testing.
Sep
23
comment What time are Bloomberg Open Symbology Files updated daily?
What is the concern? I pay for Bloomberg Back office files and usually ipos are listed well in advance
Sep
23
comment How to update an exponential moving average with missing values?
the second option is the way to go on something like this.
Sep
14
comment How much data is needed to validate a short-horizon trading strategy?
honestly, it was just an example. for equities, you might want to remove sector returns/ market returns. etc.
Sep
14
comment Why is C++ still a very popular language in quantitative finance?
Honestly, 100ms is absurd for garbage collection. Something like this is more the relic of poorly profiled code.