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Jul
11
comment 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).
Jul
5
comment 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.
Jun
30
revised Usefulness of simultaneously buying triangular and multiple arbitrages on the Forex
deleted 33 characters in body
Jun
28
answered Usefulness of simultaneously buying triangular and multiple arbitrages on the Forex
May
12
comment What are some examples of non-financial risks and contingency plans?
I am curious: why do you classify Sovereign and Settlement Risk as Non-Financial?
May
1
answered Good reference on sample autocorrelation?
Apr
19
revised Analytical relationship between a covariance matrix and cross-sectional dispersion
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Apr
19
comment Analytical relationship between a covariance matrix and cross-sectional dispersion
How do you define the random variable "cross-sectional dispersion"?
Apr
17
comment How to choose a data center for deploying high frequency trading strategies?
lehalle, can you elaborate on why "same distance" matters?
Apr
13
comment Are two identical time series cointegrated?
The first paragraph is wrong, in particular the definition of cointegration. Stationarity needs not be achieved for any linear combination, but only for some.
Apr
13
answered Are two identical time series cointegrated?
Apr
8
comment what are the most common explanations of the January effect?
Idiosyncratic but non-diversifiable should command a risk premium.
Apr
4
awarded  Necromancer
Mar
30
comment what are the most common explanations of the January effect?
Yes. I am puzzled at the 4000 google scholar results for "january effect". Some old, others very recent. It seems to me it is not settled and many competing explanations exists.
Mar
29
asked what are the most common explanations of the January effect?
Mar
18
comment Market order quantity greater than quantity of the inside quote at the exchange
Can you quantify the fee?
Mar
18
revised Market order quantity greater than quantity of the inside quote at the exchange
added 109 characters in body
Mar
16
comment Is statistical arbitrage on FX possible?
Tal, any pointer to this work? Hardcopy? Btw, good find.
Jan
29
comment Are there ways to measure the risk aversion of a representative investor, based on publicly available market data?
+1 for "By definition".
Jan
27
comment From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?
@PalaceChan: Thanks for the good question. In my comment above about acceptance rate, I wasn't referring specifically to this question, but all the questions that you asked here, on stackoverflow, and the stackexchange network. Your acceptance rate is extremely low (17% in stats.SE, 29% on SO, 33% here ...). If an answer reasonably addresses your question, it is only fair that you accept it.