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visits member for 2 years, 6 months
seen Apr 19 at 16:48

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.
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.