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1d
comment Were can I find Historical Interest Rate Data?
Your university library is the best place to start. Likely they have a data desk.
Apr
7
comment Bloomberg ticks is difference from Reuter ticks?
I would not assume they are from LSE. They are from your data vendor and what you get exactly depends on your contract and the preprocessing that is performed on the raw data from LSE and the other venues where the shares are traded. Voted to close.
Apr
7
comment Bloomberg ticks is difference from Reuter ticks?
What do you mean with "some of total value"? You should also elaborate on the differences: e.g. is the RDF data generally more granular? Ultimately you should contact your data vendors to understand the exact nature of the data.
Oct
14
comment Physical Option Implied Distribuition
@MattWolf, your first comment refers to option pricing, in which case I agree that one does not need the physical probabilities. At the same time OP did not ask explicitly about pricing. AFAIK this is an active area of research.
Oct
13
comment How to apply Ljung Box Test?
I'd advise against Ljung-Box test for financial data. It has terrible size properties.
Oct
13
comment Physical Option Implied Distribuition
To get an estimate of the market's forecast of returns.
Oct
13
comment Physical Option Implied Distribuition
@MattWolf, need is very subjective.
Sep
8
comment Why non-stationary data cannot be analyzed?
"standard errors of non-stationary processes" doesn't mean much. Your comment applies to what is known as 'mean stationarity'.
Apr
5
comment Using variance ratios to test for mean reversion
I updated my answer to address some of your comments.
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.
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
comment Testing for stationarity in large sample sizes
All you need is to spend more time getting familiar with the definition of stationary process with some examples and counterexamples. It is standard material in any time series analysis book.
Feb
5
comment Testing for stationarity in large sample sizes
On splitted data the tests will not reject the hypothesis, as long as the sample size is not too small.
Feb
2
comment How do you estimate the capacity of a strategy from historical data?
+1, good question. Can you expand on why standard market impact modeling (such as that described here) is not adequate? It seems to me that the modeling tools would be the same, and what would change is instead the maximization problem implied by the strategy (in contrast with the simpler "execute a large block").
Nov
26
comment How do I estimate the parameters of an MA(q) process?
In my opinion, it is too elementary to be on topic. Every textbook on time series analysis covers this.
Nov
16
comment Does mean reverting imply mean stationary?
Mean stationary means that $E(x_t) = E(x_s)$ for all $s$ and $t$.
Nov
12
comment Measuring liquidity
Exactly, lack of consensus.
Nov
12
comment Measuring liquidity
It sure makes for an interesting read. As to referring to highly respected (which they are) to hint at correct and valuable, you lost me at the 'hi'(gly). Here is a differing viewpoint.
Nov
7
comment Measuring liquidity
I'd be cautious about trusting VPIN. There is nothing like a consensus on its validity or robustness.