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visits member for 2 years, 10 months
seen Aug 5 at 22:18

Aug
20
reviewed Approve suggested edit on derivation of formula for portfolio skewness and kurtosis
Aug
10
awarded  Civic Duty
Aug
9
comment How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
I'd like factual statements to be substantiated with evidence. In my experience, top finance journals routinely require transaction cost analysis as a robustness check to any finding.
Aug
2
awarded  Excavator
Aug
2
revised Real-time & Fast S&P 500 E-Mini Futures (ES) Data
probably -> maybe
Aug
1
revised How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
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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".
Aug
1
comment How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
Any backing to your claims?
Aug
1
revised How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
edited tags
Aug
1
answered How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
Jul
31
awarded  Enlightened
Jul
25
awarded  Nice Answer
Jul
23
comment How does one measure the effect of latency on potential returns?
Thanks, @QuantGuy.
Jul
23
comment Reference request: Survey article on GPU in Finance
Nicolas, why don't you add some specific references to the things you have already found?
Jul
23
revised How does one measure the effect of latency on potential returns?
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Jul
23
revised How does one measure the effect of latency on potential returns?
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Jul
22
revised How does one measure the effect of latency on potential returns?
edited body
Jul
22
answered How does one measure the effect of latency on potential returns?
Jul
18
comment What commercial financial libraries are available to outsource implementation risk?
I did say "mitigated", not "obliterated". ;)
Jul
18
comment 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.