260 reputation
314
bio website
location Chicago, IL
age 35
visits member for 3 years, 1 month
seen May 23 '12 at 21:23

Dec
26
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.
Dec
13
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.
Dec
6
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.
Oct
7
comment Skew arbitrage: How can you realize the skewness of the underlying?
Bravo! I think your second reference is almost what I am looking for (haven't finished it yet but can feel it). Thank you, Tal. This paper is highly relevant and helpful.
Oct
3
comment Skew arbitrage: How can you realize the skewness of the underlying?
Glad you like it and thanks for editing. I will definitely look into it, and see what I can extract and get back to everyone.
Oct
3
comment Skew arbitrage: How can you realize the skewness of the underlying?
Thank you TheBridge. The title of this paper seems to be a better question than mine! Give me some time to digest. I will extract the ideas and merge it to this question.
Sep
29
comment Excellent information source on advanced machine learning / data mining based trading?
Thank you for the warm welcome! I am glad to find this site.