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location Chicago, IL
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visits member for 2 years, 7 months
seen May 23 '12 at 21:23

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comment How do I adjust a correlation matrix whose elements are generated from different market regimes?
After careful review, we found 楊祝昇's idea is very useful in general and particularly suitable for our problem. Besides, his solution is an original idea which is rarely seen in public. For these reasons, I am happy to offer a late bounty for his great answer.
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accepted How do I adjust a correlation matrix whose elements are generated from different market regimes?
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comment How do I adjust a correlation matrix whose elements are generated from different market regimes?
This is awesome! Your solution makes a lot of sense to me and this is very easy to follow! Can you provide any references for your answer? Tho you have explained many details, we are very interested to see its performance.
Dec
11
comment How do I adjust a correlation matrix whose elements are generated from different market regimes?
Actually, we already tried it before I posted my question. But there is a problem. In the case of shifting from low to high correlation regime, some of the adjusted correlations might explode, i.e. adjusted correlation > 1. I like the simplicity of the idea of average correlation, but the rho > 1 is the least desirable result.
Dec
11
comment How do I adjust a correlation matrix whose elements are generated from different market regimes?
WOW, you are the man! This is one of the most thorough answer I ever seen, though I have to confess that it will take me awhile to digest and experiment. Seriously, I think this answer deserve more than +50 bounty. Let me see what I can offer later.
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comment How do I adjust a correlation matrix whose elements are generated from different market regimes?
Thank you Patrick! Though the market regime bias caused by missing data has not been addressed, your package looks very useful. Definitely will look into it and thanks for your sharing.
Dec
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asked How do I adjust a correlation matrix whose elements are generated from different market regimes?
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answered Is there a quantitative finance ranking system for universities?
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