Ryogi

less info
meta site favicon meta user | stack exchange network profile network profile
1,817 reputation
619
bio website
location
age
visits member for 1 year, 7 months
seen May 15 at 16:05
stats profile views 166

199 Actions

suggestions reviews revisions comments badges posts accepts all
Apr
5
 revised Using variance ratios to test for mean reversion
added 1 characters in body
Apr
5
 comment Using variance ratios to test for mean reversion
I updated my answer to address some of your comments.
Apr
5
 revised Using variance ratios to test for mean reversion
extented to clarify and address comments
Apr
5
 answered Using variance ratios to test for mean reversion
Mar
30
 comment From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?
@CharlesM, as I mentioned in the second point, a good starting point is the work by Obizhaeva and Wang. Following on the papers that cite it (e.g. on google scholar) will give you an idea of where the literature is at.
Mar
29
 revised From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?
added 1 characters in body
Mar
2
 reviewed Approve suggested edit on How to annualize Sharpe Ratio?
Feb
19
 comment Recover full tick data from missing tick data
While interpolation can be useful at medium frequencies, it is hardly useful at the tick level. Arguably most of the information is contained in the fact that the "tick" happened ...
Feb
14
 comment What data sources are available online?
Any idea on the cost of access for academic users?
Feb
5
 reviewed Reviewed Analyzing the angle between vector of weights and vector of returns in mean-variance optimization
Feb
5
 reviewed No Action Needed Simple question concerning Jump process (Lévy process) model for a risky actif price process
Feb
5
 reviewed No Action Needed What is the industry standard Quant Finance modeling library for F#
Feb
5
 reviewed Reviewed Asymmetric Volatility Modeling (Interpretation)
Feb
5
 reviewed No Action Needed NYSE binary data, convert to ASCII
Feb
5
 reviewed Reviewed What's the algorithm behind Excel's ACCRINT?
Feb
5
 reviewed Reviewed What are the options for a mathematician to break into QF without working for a fund?
Feb
5
 reviewed No Action Needed Which brokers offer a .NET stock trading API?
Feb
5
 reviewed Excellent price of a “Cash-or-nothing binary call option”
Feb
5
 reviewed Satisfactory Understanding Passive Rebate Arbitrage
Feb
5
 reviewed Needs Improvement what is the implied volatility on a basket of options
1 2 3 4 5 … 10