Ryogi

1,817 reputation

619

bio	website
	location
	age
visits	member for	1 year, 7 months
	seen	May 15 at 16:05
stats	profile views	166

	1,817 reputation	bio	website		visits	member for	1 year, 7 months
619 badges		location			seen	May 15 at 16:05

summary answers questions tags badges favorites bounties reputation activity

70 Comments

suggestions reviews revisions comments badges posts accepts all

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 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 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 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 3	comment	Can social media be applied to algorithmic trading? 10 years ... that's interesting. It'd be great if you could dig out a link.
Nov 2	comment	Recommendations for books to understand the math in quantitative finance papers? @SRKX, that's exactly what I did. Given the upvotes, voting for a close deserved a comment.
Oct 31	comment	What skills and education are required for HFT? You'll have more luck with this type of questions at quantnet.
Oct 31	comment	How random are financial data series? - "no uniform explanation what the random walk is" is very inaccurate. A random walk is a very well defined object.
Oct 31	comment	How to value a floor when a loan is callable? Brian, let them post the solution for extra credit.
Oct 31	comment	Recommendations for books to understand the math in quantitative finance papers? This should be closed. Clearly a pooling question of the “What’s your favorite ______?” type.
Oct 29	comment	Empirical or theoretical quant insights that have shaped your thinking? +1. “There is beta you understand and there is beta you do not understand.”. Reminds me of a quote from one of his papers: "Exotic betas are my alpha".
Oct 29	comment	Probability distributions in quantitative finance @Shane, I agree it is border line off topic as phrased. But many questions of the "most popular" kind turned out to be really good wikis on SO/SE sites, no?
Oct 29	comment	Probability distributions in quantitative finance Why close? If anything it could be community wiki.
Oct 29	comment	How to annualize Sharpe Ratio? How about some Latex? ;)
Oct 27	comment	How to cluster stocks and construct an affinity matrix? @Alchemist: you can't down vote comments, but you can flag them. See the FAQ.
Oct 27	comment	How to normalize Futures data(different leverage) for cointegration test? A "normalization" can be a useful nonlinear transformation quite different from differencing (which should be generally avoided, as you suggest - unless one is dealing with higher order cointegration).
Oct 27	comment	What strategy would benefit most from having the fastest connection to the exchange? It isn't an established terminology. The gist of the idea is in "negative spreads". In this answer on quant.SE there is a link to a great animation of the LOB. Somewhere there you can see that at times in the consolidated LOB spreads are negative.
Oct 24	comment	Is there a quantitative finance ranking system for universities? Andy, thanks for fixing that. It is obvious to me, but most people don't check profiles. Also, from the FAQ: Be careful, because the community frowns on overt self-promotion and tends to vote it down and flag it as spam. Post good, relevant answers, and if some (but not all) happen to be about your product or website, so be it. However, you must disclose your affiliation in your answers.