Ryogi

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visits member for 1 year, 7 months
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30 Posts

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Apr
5
 answered Using variance ratios to test for mean reversion
Feb
4
 answered Testing for stationarity in large sample sizes
Nov
28
 answered Treasury Bond Yield Curves in R
Nov
18
 answered Why is random trading minus transaction costs not zero expected value?
Nov
16
 answered Does mean reverting imply mean stationary?
Oct
29
 answered Volatility models using Rugarch
Oct
21
 answered Alternative liquidity measures
Aug
1
 answered How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
Jul
22
 answered How does one measure the effect of latency on potential returns?
Jun
28
 answered Usefulness of simultaneously buying triangular and multiple arbitrages on the Forex
May
1
 answered Good reference on sample autocorrelation?
Apr
13
 answered Are two identical time series cointegrated?
Mar
29
 asked what are the most common explanations of the January effect?
Jan
25
 answered From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?
Jan
25
 answered Has spectrum analysis ever been used successfully to analyse historical price data?
Dec
3
 answered How to define and measure liquidity or funding premium in credit markets?
Nov
14
 answered How to check if a timeseries is stationary?
Nov
12
 answered What close price to assume for thinly traded stocks?
Nov
11
 answered What exactly is meant by “microstructure noise”?
Nov
3
 answered Can social media be applied to algorithmic trading?
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