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Feb
13
awarded  Necromancer
Sep
23
comment Real-time Tick Filtering
Thanks for the answer, would there be any online way of calibrating eps_ticks? (for instance).
Sep
23
comment Real-time Tick Filtering
I'm thinking of bad ticks & big movements.
Sep
23
asked Real-time Tick Filtering
Sep
22
comment Does Kalman filter always improve over linear regression?
The Kalman Filter needs a 'model', usually in stat-arb work we are trying to estimate a regression model. If we assume the regression model has no intercept we are left with one coefficient for our model, the 'beta'. At each point the Kalman Filter estimates beta given the new information, that information is incorporated into our new estimation using the 'Kalman Gain' parameter. When you work through the equations in this case, the 'Kalman Gain' is functionally equivalent to an exponential smoother. Each new estimation is incorporated as if the estimations where being feed into an EMA.
Sep
21
answered Does Kalman filter always improve over linear regression?
Sep
20
awarded  Supporter
Jul
3
answered What is the best data structure/implementation for representing a time series in C#?
Jan
31
awarded  Commentator
Jan
31
comment Position Sizing For Ratio Pairs Trade
Yep, I'm seeing that in my testing, basically, the volatility is volatile. Hmmm...what to to...
Jan
30
revised Position Sizing For Ratio Pairs Trade
added 215 characters in body
Jan
30
asked Position Sizing For Ratio Pairs Trade
Dec
1
comment Absolute Dollar Form Of Kelly Criterion
Cheers! That book looks like it's worth a read.
Nov
23
comment Absolute Dollar Form Of Kelly Criterion
That formula seems to be a specific case for binary outcomes, quote: "For simple bets with two outcomes, one involving losing the entire amount bet, and the other involving winning the bet amount multiplied by the pay-off odds". I was more specifically wondering if there was an absolute dollar form in the continuous case.
Nov
22
asked Absolute Dollar Form Of Kelly Criterion
Nov
22
comment Performance Stats of Pairs Trades
I think so, I'd managed to roughly convince myself of the same, but it's good to see I'm thinking along the correct lines.
Nov
22
awarded  Student
Nov
22
asked Performance Stats of Pairs Trades
Aug
9
answered How far back is normal to backtest an ATS ?
May
3
comment Utility to download historical Implied Volatility data from Interactive Brokers?
A Spanish newspaper?