2,051 reputation
821
bio website
location
age
visits member for 3 years
seen Oct 5 at 15:46

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.
Oct
24
comment Is there a quantitative finance ranking system for universities?
Andy, since you run quantnet, you should put a disclaimer in your answer.
Oct
19
comment What does T statistics of Information Coefficient indicate?
A better place for asking this question might be stats.SE.
Oct
18
comment What tools exist for order book analysis and visualization?
+1 - great link.
Oct
18
comment How to execute a large futures order?
@TalFishman: I added premises and findings.
Oct
17
comment What are the typical “realized latencies” across different products and infrastructures?
@wburzyns: I was thinking about latency from the viewpoint of the trader: from when the order is submitted locally to when it is processed. It seems you are worried with how this latency is decomposed into various components. Latency decomposition is also very interesting and complementary aspect.
Oct
16
comment Why do some anomalies persist while others fade away?
@TalFishman, thanks. Your interpretation is generally correct. But more specifically I argue that anomalies and arbitrage opportunities (AO) are different beasts. AO are anomalies, but anomalies are not necessarily AO. As such anomalies cannot generally be "arbitraged away". Why? (1) Unexplained risk and (2) limits to arbitrage. I edited my answer to make it a bit more complete.
Oct
16
comment Applying models with normality assumption on tick data?
@jk3000, why don't you post some specific papers and references for your statements? That would help framing an answer.
Oct
15
comment How can one determine approximately what percentage of options trades are buyer-initiated vs. seller-initiated?
Can you be more specific? What do you mean by "% buying" and "% selling"?
Oct
15
comment How can one determine approximately what percentage of options trades are buyer-initiated vs. seller-initiated?
I read the question from a microstructure perspective: "Buyer/seller initiated trade" is common parlance for price taking in a certain direction, in contrast to providing liquidity with a limit order. This decision is an execution decision. Switching from cash to equity (or vice versa) is an allocation decision.
Oct
14
comment How can one determine approximately what percentage of options trades are buyer-initiated vs. seller-initiated?
But each trade is either buyer or seller initiated, no? Open interest doesn't help in answering Beatrice's question. Instead, one needs order flow.