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| bio | website | |
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| age | ||
| visits | member for | 1 year, 7 months |
| seen | May 15 at 16:05 | |
| stats | profile views | 166 |
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Aug 2 |
revised |
Real-time & Fast S&P 500 E-Mini Futures (ES) Data probably -> maybe |
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Aug 1 |
revised |
How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy? added 91 characters in body |
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Aug 1 |
comment |
How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy? I was referring to this claim: " ... very common and serious problem among academic papers". |
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Aug 1 |
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How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy? Any backing to your claims? |
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Aug 1 |
revised |
How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy? edited tags |
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Aug 1 |
answered | How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy? |
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Jul 31 |
awarded | Enlightened |
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Jul 25 |
awarded | Nice Answer |
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Jul 23 |
comment |
How does one measure the effect of latency on potential returns? Thanks, @QuantGuy. |
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Jul 23 |
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Reference request: Survey article on GPU in Finance Nicolas, why don't you add some specific references to the things you have already found? |
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Jul 23 |
revised |
How does one measure the effect of latency on potential returns? deleted 1 characters in body |
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Jul 23 |
revised |
How does one measure the effect of latency on potential returns? added 2 characters in body |
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Jul 22 |
revised |
How does one measure the effect of latency on potential returns? edited body |
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Jul 22 |
answered | How does one measure the effect of latency on potential returns? |
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Jul 18 |
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What commercial financial libraries are available to outsource implementation risk? I did say "mitigated", not "obliterated". ;) |
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Jul 18 |
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What commercial financial libraries are available to outsource implementation risk? On the lack of documentation: this is often mitigated by (1) fast response time of developer and forums, (2) access to open source. The second is particularly valuable when you need to tweak or extend library functions. |
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Jul 11 |
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Are there any standard techniques for adding realistic synthetic microstructure noise to a price series? Fair value is hardly a concept applied to frequencies wherein microstructure noise is relevant. |
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Jul 11 |
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Are there any standard techniques for adding realistic synthetic microstructure noise to a price series? Can you expand on the application, the motivation or, if that's sensitive information, on general scenarios? In particular, (1) the relation (formal or heuristic) to band restricted WN generators and (2) what do you have in mind as a benchmark for "good enough" (again, formally or heuristically). |
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Jul 5 |
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What is the difference between these two optimization procedures? Your title is misleading. Your question seems to be about assuming a certain covariance matrix and estimating the covariance matrix from historical data. The contrast in title (Correlation vs Covariance) has little to do with it. |
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Jun 30 |
revised |
Usefulness of simultaneously buying triangular and multiple arbitrages on the Forex deleted 33 characters in body |
