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visits member for 3 years, 2 months
seen Nov 29 at 17:58

Oct
30
comment Sources of Machine Readable News
@pyCthon, yep, most answers to the questions on this site can be found on through google or google-scholar. But a good answer doesn't require you to sift through all that info.
Oct
29
comment Sources of Machine Readable News
Examples of such companies?
Oct
29
comment Using alpha to evaluate trading strategy
Whether is matters or not depends on what question are you interested in answering using this model.
Oct
29
comment forward- and backward adjusting stockprices
Maybe you should try do describe an example in full detail. In doing so, edit your own question instead of adding a comment.
Oct
22
comment Connections between random walk and heat equation (Material for ~)
Einstein's derivation of the diffusion equation is really intuitive. I can't find a good ref right now...
Oct
16
comment Are two identical time series cointegrated?
No, using vs not-using qualifiers in a technical discussion is not an objective thing.
Oct
16
comment Are two identical time series cointegrated?
More importantly, since the cointegrating linear combination in this case requires $\alpha = -\beta$, the conclusion that $(\alpha + \beta) X$ must be stationary does not lead to any contradiction as $\alpha + \beta$ equals zero and $X$ could be anything.
Oct
16
comment Are two identical time series cointegrated?
You didn't use any quantifier in the original answer. That's wrong. Using some is acceptable. A mathematical text would state that there exist $\alpha$ and $\beta$ such that $\alpha X + \beta Y$ is stationary.
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"?