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seen Oct 5 at 15:46

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.
Jan
27
awarded  Nice Answer
Jan
26
comment From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?
You need to work on your acceptance rate (here, at SO, and across SE in general) ...
Jan
26
comment What exactly is meant by “microstructure noise”?
Group 1 being agnostic means that they can't be bothered, as long as they have a good stochastic model for it, and as long as they can filter it out. If you care about the origin, and want to develop some intuition for it, then read some Group 2 papers. It's a fun read, but it won't help you much with 1. The most typical culprit for HF noise is the so called bid-ask bounce.
Jan
26
revised From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?
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Jan
25
answered From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?
Jan
25
answered Has spectrum analysis ever been used successfully to analyse historical price data?
Jan
11
comment One dimensional analog of cleansing a correlation matrix via random matrix theory
+1. Keep in mind that the decomposition above exists only for normal matrices - that's a spectral theorem in math-speak. In particular, correlation matrices are symmetric, hence normal.
Jan
11
revised One dimensional analog of cleansing a correlation matrix via random matrix theory
added 17 characters in body
Jan
8
comment Is equity market making a game of speed?
To nitpick, nobody who currently finds success. Revealing strategies that used to be profitable is not completely unreasonable.
Dec
16
revised How to calculate historical intraday volatility?
added link to a quant.SE question
Dec
3
answered How to define and measure liquidity or funding premium in credit markets?
Dec
3
comment How to define and measure liquidity or funding premium in credit markets?
Nice find. I mostly go by Bao et al, but this looks good.
Nov
14
comment How to check if a timeseries is stationary?
You can use the DWT and MODWT functions in that package to construct the test. I doubt the test itself is implemented. Maybe you can find the code at the authors' webpages.
Nov
14
answered How to check if a timeseries is stationary?
Nov
12
revised What close price to assume for thinly traded stocks?
deleted 2 characters in body
Nov
12
answered What close price to assume for thinly traded stocks?
Nov
11
answered What exactly is meant by “microstructure noise”?