Ryogi

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	1,827 reputation	bio	website		visits	member for	1 year, 7 months
619 badges		location			seen	May 15 at 16:05

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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 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?
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 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.
Jul 11	comment	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.
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.
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?
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 8	comment	what are the most common explanations of the January effect? Idiosyncratic but non-diversifiable should command a risk premium.
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 18	comment	Market order quantity greater than quantity of the inside quote at the exchange Can you quantify the fee?
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.