Freewind

184 reputation

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visits	member for	1 year, 7 months
	seen	Dec 5 '12 at 7:11
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	184 reputation	bio	website		visits	member for	1 year, 7 months
17 badges		location			seen	Dec 5 '12 at 7:11

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Apr 29	awarded	Notable Question
Dec 4	awarded	Popular Question
Nov 11	accepted	Calculating the right portfolio(position size for each leg) in a Long/Short Strategy
Oct 20	comment	Calculating the right portfolio(position size for each leg) in a Long/Short Strategy Thanks Freddy, definitely food for thoughts.
Oct 20	asked	Calculating the right portfolio(position size for each leg) in a Long/Short Strategy
Aug 8	asked	How to normalize different instruments by volatility?
Jun 13	awarded	Popular Question
Jan 24	comment	What is the correct procedure to choose the lag when preforming Johansen cointegration test? I would deeply appreciate if someone who has a good answer could answer my question. I think it can help people in this group because it is a common problem when constructing a cointegration system.
Jan 22	asked	What is the correct procedure to choose the lag when preforming Johansen cointegration test?
Nov 2	asked	The difference between Close price and Settelment Price for future contracts
Oct 29	awarded	Nice Question
Oct 29	accepted	How to normalize Futures data(different leverage) for cointegration test?
Oct 28	comment	How to normalize Futures data(different leverage) for cointegration test? but my problem quantGuy is that if you want to trade such a portfolio the different leverage of each instrument is not taken into account.What I think should be done is multiply the price by the point value and then look for cointegration. Does it make sense to you?
Oct 27	asked	How to normalize Futures data(different leverage) for cointegration test?
Oct 26	accepted	Should cointegration be tested using close or adjusted close prices?
Oct 25	comment	Should cointegration be tested using close or adjusted close prices? Thanks Tal. What do you mean by 'Total returns'?
Oct 24	asked	Should cointegration be tested using close or adjusted close prices?
Oct 6	awarded	Supporter
Oct 6	awarded	Scholar
Oct 6	comment	How to interpret the eigenmatrix from a Johansen cointegration test? Owen thank you for your detailed answer, it got my head straight. As for eigenvalue Half life is calculated by Log(2)/EigenValue. This is why you choose the biggest eigenvalue.