meta user
network profile
| bio | website | |
|---|---|---|
| location | Paris | |
| age | ||
| visits | member for | 2 years, 3 months |
| seen | Mar 24 at 22:33 | |
| stats | profile views | 110 |
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Feb 1 |
awarded | Yearling |
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Dec 14 |
awarded | Popular Question |
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Oct 14 |
awarded | Popular Question |
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Oct 2 |
comment |
Running a simple alpha estimation test for statistical significance of a signal They way you ask your question makes me think that you are looking for somekind of bootstrap test. A related paper on that would be : Pairs Trading: Performance of a Relative-Value Arbitrage Rule Evan Gatev. Of course this will not actually tell you if you have found alpha. For this I think you should be looking at parametrical test. |
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Sep 23 |
reviewed | Approve suggested edit on Hedging stocks with VIX futures |
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Sep 21 |
awarded | Custodian |
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Aug 15 |
reviewed | Approve suggested edit on portfolio optimisation with VaR (or CVaR) constraints |
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Jul 29 |
comment |
Is it more accurate to analyze returns on a calendar day basis than a trading day basis? Agree with @chrisaycock and JL344. It is definetly not standard but assuming friday to monday returns come from the same distribution as thursday to friday is a bit insane. (most people might be) |
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Jul 17 |
comment |
Multilayer Perceptron (Neural Network) for Time Series Prediction @lehalle excellent answser |
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Jul 5 |
comment |
How to better understand trading signals? The problem with Principle component analysis is that you moght lose information about what really drives your returns. Also as a rule of thumbs, before assuming that you have a non linear relationship make sure that a linear methods realy results in underfitting your problem. If you want to reduce the number of variables you could use shrinkage regression for example. |
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Jun 21 |
comment |
How does Cornish-Fisher VaR (aka modified VaR) scale with time? Have you tried to do the calculation yourself? In the case of IID returns it shouldn't be too complicated. Write log returns of aggredated returns as the sum of individual log returns. Then calculate the skewness and Kurtosis of the sum. |
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Jun 10 |
comment |
How should I compute the Sharpe Ratio for mid-frequency pair trading strategy? It also has to be done that way because almost everyone out there is doing it on daily returns. This enables clearer comparisons between strategies. |
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Jun 2 |
awarded | Enthusiast |
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May 30 |
accepted | Optimal execution and reinforcement learning |
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May 29 |
revised |
Optimal execution and reinforcement learning added 13 characters in body |
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May 29 |
comment |
What are the steps to perform properly a risk factor analysis on a portfolio? Are you really looking for a generaly accepted method? I don't think this exists for anything related to quant finance. I ask this there are probably people that know reference for this but would not post it as a "generaly accepted method". |
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May 29 |
revised |
Optimal execution and reinforcement learning added 14 characters in body |
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May 29 |
comment |
Optimal execution and reinforcement learning @SRKX Sorry you are right. +1 |
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May 29 |
revised |
Optimal execution and reinforcement learning edited title |
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May 29 |
asked | Optimal execution and reinforcement learning |
